How exactly do you create the arbitrage with a credit line of USD 1,000,000 (or equivalent EUR). How much money could you have made from the arbitrage on that date? What do you buy or sell, at what price? What do you borrow or lend, at what interest rate? -Hint- If you click on my calculation cells in the spreadsheet, it will show the spot rate and interest rates used. Match the 9/11/2001 calculations in spreadsheet exactly. Note that there are two different interest rates in each country. They are not really "bid" and "ask". They are for borrowing and lending.

-In conclusion I need to 1.Borrow in one currency. 2. lend in another. 3. use a forward contract to complete an arbitrage. Does someone see how to get this?

A discrepancy of .00006. Multiplying by 1 million gives a rough profit of $60.

eur1yd= (1-yr euro deposit rate)				eur= (1-yr $/euro spot rate)				eur1y= (1-yr $/euro forward rate)				usd1yd= (1-yr $ deposit rate)				Sell	BUY	Sell	Buy	1000000
DATE	BID	ASK		DATE	BID	ASK		DATE	BID	ASK		DATE	BID	ASK	Names	FWD Bid	FWD Ask	Syn Bid	Syn Ask
																=J5/10000+F5	=K5/10000+G5	=F5*(1+N5%)/(1+C5%)			Arbitrage	Total
9/10/01	3.9	4.02		9/10/01	0.8979	0.8983		9/10/01	-47	-44		9/10/01	3.34	3.46		0.89320	0.89390	0.892030244	0.894495842		=S5-R5	=U1*V5
9/11/01	3.74	3.87		9/11/01	0.914	0.9145		9/11/01	-51	-47		9/11/01	3.4	3.52		0.90890	0.909800	0.909864253	0.912560632		0.000064	$ 64.2534
9/12/01	3.77	3.89		9/12/01	0.9068	0.907		9/12/01	-67	-60.5		9/12/01	3.06	3.18		0.9001	0.90095	0.899555376	0.901843115