Question
Doug Bernard specializes in cross-rate arbitrage. He notices the following quotes: Swiss franc/dollar = SFr1.6075/$ Australian dollar/U.S. dollar = A$1.8332/$ Australian dollar/Swiss franc = A$1.1518/SFr
Doug Bernard specializes in cross-rate arbitrage. He notices the following quotes:
Swiss franc/dollar = SFr1.6075/$
Australian dollar/U.S. dollar = A$1.8332/$
Australian dollar/Swiss franc = A$1.1518/SFr
Required:
Ignoring transaction costs,
Does Doug Bernard have an arbitrage opportunity based on these quotes?
How much would he profit if he has $1,000,000 available for this purpose?
Note: Do not round intermediate calculations. Round your answer to 2 decimal places.
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The Handbook For Investment Committee Members
Authors: Russell L. Olson
1st Edition
0471719781, 978-0471719786
