Question
You specialize in cross-rate arbitrage. You notice the following quotes: Singapore dollar/U.S. dollar (S$/S) spot rate = S$1.60/$ Canadian dollar/U.S. dollar (CD/$) spot rate =
You specialize in cross-rate arbitrage. You notice the following quotes:
Singapore dollar/U.S. dollar (S$/S) spot rate = S$1.60/$
Canadian dollar/U.S. dollar (CD/$) spot rate = CD1.33/$
Singapore dollar/Canadian dollar (S$/CD) spot rate = S$1.15/CD
Ignoring transaction costs: A) Do you have an arbitrage opportunity based on these quotes? B) If an arbitrage opportunity exists, what transactions would you undertake to secure the arbitrage profit? C) How much would your profit be if you have $1,000,000 available for this purpose?
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Real Estate Finance
Authors: John P. Wiedemer
8th Edition
0324142900, 9780324142907
