Question
A Citibank trader wonders if he can make an Intermarket arbitrage profit using Libyan dinars and Saudi riyals. He has $1,000,000 to work with so
| A Citibank trader wonders if he can make an Intermarket arbitrage profit using Libyan dinars and Saudi riyals. He has $1,000,000 to work with so he gathers the following quotes: | ||
|
|
|
|
| Citibank quotes U.S. dollar per Libyan dinar: |
| $1.9324/LYD |
| National Bank of Kuwait quotes Saudi riyal per Libyan dinar: |
| SAR 1.9405/LYD |
| Barclay quotes U.S. dollar per Saudi riyal: |
| $0.9667/SAR |
Show that the arbitrage opportunity exists and how the trader can profit from this arbitrage opportunity? What his profit will be? (Show your calculations).
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Bond Markets Analysis and Strategies
Authors: Frank J.Fabozzi
9th edition
133796779, 978-0133796773
