Question
Triangular Arbitrage Assume the following information: QUOTED PRICE Value of Canadian dollar in U.S. dollars$0.90 Value of New Zealand dollar in U.S. dollars$0.30 Value of
Triangular Arbitrage Assume the following information:
QUOTED PRICE
Value of Canadian dollar in U.S. dollars$0.90
Value of New Zealand dollar in U.S. dollars$0.30
Value of Canadian dollar in New Zealand dollarsNZ$3.02
Given this information, is triangular arbitrage possible? If so, explain the steps that would ref lect triangular arbitrage, and compute the profit from this strategy if you had $1 million to use. What market forces would occur to eliminate any further possibili-ties of triangular arbitrage?
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Quantitative Trading
Authors: Ernest P. Chan
2nd Edition
1119800064, 978-1119800064
