Question
Suppose we observe the following quotes: Bid Ask Deustche USD/SFr 1.1099 1.1108 JP Morgan USD/NZD 0.6677 0.6689 HSBC SFr/NZD 0.6043 0.6067 Do we have an
Suppose we observe the following quotes:
| Bid | Ask | ||
| Deustche | USD/SFr | 1.1099 | 1.1108 |
| JP Morgan | USD/NZD | 0.6677 | 0.6689 |
| HSBC | SFr/NZD | 0.6043 | 0.6067 |
Do we have an arbitrage opportunity?
If so, starting with 2.5 milion USD, how do we make profits and by how much?
Show your workings.
In your answer, keep 4 decimal places for exchange rate calculation.
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Understanding Futures Markets
Authors: Robert Kolb, James Overdahl
6th Edition
1405134038, 9781405134033
