Question
uppose we observe the following quotes: BidAskDeustcheUSD/SFr1.10991.1108JP MorganUSD/NZD0.66770.6689HSBCSFr/NZD0.60430.6054 Do we have an arbitrage opportunity? If so, starting with 2.5 million USD, how do we make
uppose we observe the following quotes:
BidAskDeustcheUSD/SFr1.10991.1108JP MorganUSD/NZD0.66770.6689HSBCSFr/NZD0.60430.6054
Do we have an arbitrage opportunity?
If so, starting with 2.5 million 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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Auditing Cases An Active Learning Approach
Authors: Mark S. Beasley, Frank A. Buckless, Steven M. Glover, Douglas F. Prawitt
2nd Edition
0130674842, 978-0130674845
