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FINN 3223-001 Homework 4 Due date: 9/21 at 11:00am (beginning of class) Instructions For multiple choices questions, choose the correct answer, THEN EXPLAIN WHY. If

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FINN 3223-001 Homework 4 Due date: 9/21 at 11:00am (beginning of class) Instructions For multiple choices questions, choose the correct answer, THEN EXPLAIN WHY. If you do not include explanations, only partial credit will be earned. For short answers, provide detail steps that lead to your final answer. 1. Assume no transaction cost. Quotes at locations A, B and C are as follows: A: /US = 106.50, B: CS/US = 1.3215 , C: /C$ 82.905 Determine if triangular arbitrage is feasible. . State what you would do to profit from arbitrage. . Calculate the percentage profit 2. The following quotes are given for the respective maturities for the and the SF. SPOT IMONTH 3MONTHS 6MONTHS 35-42 14-9 38-25 : $2.0015-30 17-19 SF: $0.6963-68 6-4 Compute the outright quotes for the 1/3/6 month forwards, respectively. 22-26

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