Assume you are a trader with Citigroup. From the quote screen on your computer terminal, you notice that JPMorgan is quoting 0.8620 /$1.00 and Credit Suisse is offering SFr0.9234/$1.00. You learn that UBS is making a direct market between the Swiss franc and the euro, with a current SFr/ quote of 1.0812

Show how you can make a triangular arbitrage profit by trading at these prices. (Ignore bid-ask spreads for this problem.) Assume you have $5,000,000 with which to conduct the arbitrage.

What /SFr price will eliminate triangular arbitrage?

What is a condition that will give rise to a triangular arbitrage opportunity?