Question
a) Assuming triangular arbitrage is not possible and exchange rates are priced efficiently, use the following quotes to determine the percentage change in the NZD
a) Assuming triangular arbitrage is not possible and exchange rates are priced efficiently, use the following quotes to determine the percentage change in the NZD against the JPY.
|
| Today | 1 year ago |
| AUD NZD | 1.0362 | 1.0965 |
| AUD JPY | 71.85 | 74.65 |
(5 marks)
b) You have the following quotes from three different banks:
| Big Time Bank | 71.85 JPY AUD |
| Fack Bank | 0.9601 AUD NZD |
| Trusty Bank | 69.99 JPY NZD |
If you can buy or sell at the given quotes, how much profit can you make using AUD $1 000 000. Clearly show each of your trades and give your profit in AUD. (10 marks)
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Financial statements
Authors: Stephen Barrad
5th Edition
978-007802531, 9780324186383, 032418638X
