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3. Assume you are a trader with Unicredit. From the quote screen on your terminal, you notice that Erste Bank is quoting 0,77/USD and CS
| 3. | ||||||||||||||||||
| Assume you are a trader with Unicredit. From the quote screen on your terminal, you notice that Erste Bank is quoting 0,77/USD and CS is offering SF 1,13/USD. | ||||||||||||||||||
| You learn that UBS is making a direct market between the Swiss Franc and the Euro, with a current /SF quote of 0,67. | ||||||||||||||||||
| a. Show how you can make a triangular arbitrage profit by trading at these prices (ignore bid-ask spreads). Assume you have USD 100.000 with which to conduct arbitrage. | ||||||||||||||||||
| b. What happens if you initially sell US dollars for Swiss Francs? | ||||||||||||||||||
| c. What /SF price will eliminate triangular arbitrage? | ||||||||||||||||||
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The Almanack Of Stanley Druckenmiller From Over 40 Years Of Investing Wisdom With Quantum Fund And Duquesne Capital Management
Authors: Rui Zhi Dong
1st Edition
B0B3NV2H9M, 979-8850611453
