Question 2

1. On your post-graduation celebration trip you are leaving Paris for St. Petersburg, Russia. You leave Paris with 10,000 Euros in your money pouch. Wanting to exchange all of these for Russian Rubles, you obtain the following quotes Spot rate (S/e) $1.4260/ Spot rate (Rubles/S) Rb124.75/s a. What is the Russian Ruble/Euro cross rate? b. How many rubles will you obtain fr your Euros (assuming no bid-ask spread)? 2. Suppose the following exchange rates are quoted: Citibank $1.2223/ Barclays Bank $1.8410/E Dresdner Bank 1.5100/ Is there a triangular arbitrage opportunity? If so, how much will you end up with if you start the arbitrage with $1,000,000 3. Triangular Arbitrage Assume the following quotes, calculate how a market trader at Citibank with $1,000,000 can make an inter- market arbitrage profit.: Citibank quotes U.S. dollar per pound: $1.5400/ National Westminster quotes euro per pound: 1.6000/E Deutsche Bank quotes dollars per euro: $0.9700/ 4. Triangular Arbitrage Riskless profit using 10,000,000 Swiss franc. The following exchange rates are available to you. (You can buy or sell at the stated rates.) Mt. Fuji Bank *120.00/S Mt. Rushmore Bank SF 1.6000/S Mt. Blanc Bank Y80.00/SF English ius) : 35