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Exercise 4 . 1 The Excel spreadsheet Exercise 4 . 1 FX model gives cross - currency exchange rates among the currencies USD, EUR, GBP
Exercise The Excel spreadsheet "Exercise FX model" gives cross
currency exchange rates among the currencies USD, EUR, GBP AUD, and JPY
Use a linear programming model to detect if these exchange rates contain an
arbitrage opportunity. To do so use the following decision variables:
: amount of currency i converted to currency
: net amount of currency after all transactions.
Is there an arbitrage opportunity? If the answer is yes, then describe it for
example: "Convert USD to EUR then to JPY then back to USD to net
USD without putting money intableUSD,EUR,GBPAUD,JPYUSDEURGBPAUDJPY
CREATE A LINEAR PROGRAM THAT SOLVES THIS PROBLEM. Please go very in depth as Im not very familiar how to do this. thanks
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