4. Triangular Arbitrage. Assume the following quotes: Citibank quotes U.S dollars per pound at $1.5400/£, National...
4. Triangular Arbitrage. Assume the following quotes: Citibank quotes U.S dollars per pound at $1.5400/£, National Westminster quotes euro per pound at €1.6000/£, Deutschebank quotes dollars per euro at $0.9700/€. Calculate how a market trader at Citibank with $1,000,000 can make inter-market arbitrage profit.
Homework Answers
Start with 1000000 dollars
Convert dollars to pounds from Citibank=1000000/1.54=649350.64935 pounds
Convert pounds to euros from National Westminster=649350.64935*1.6=1038961.03896 euros
Convert euros to dollars from Deutsche Bank=1038961.03896*0.97=1007792.20779 dollars
Profit=1007792.20779-1000000=7792.20779 dollars
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4. Triangular Arbitrage. Assume the following quotes: Citibank
quotes U.S dollars per pound at $1.5400/£, National...
Assuming the following quotes, calculate how a market trader at Citibank with $1,000,000 can make an...
Assuming the following quotes, calculate how a market trader at Citibank with $1,000,000 can make an intermarket arbitrage profit. First establish if there is the possibility of arbitrage profit. Second show that path and amount of profit. Citibank quotes U.S. dollar per pound: $1.5900/£ National Westminster quotes euros per pound: €1.2000/£ Deutschebank quotes U.S. dollar per euro: $0.7550/€
Problem 2 Assume the following quotes: Citibank National Westminster Deutsche Bank Assume that the trader has...
Problem 2 Assume the following quotes: Citibank National Westminster Deutsche Bank Assume that the trader has EUR 10,000,000. What profit can a trader make? NOK/EUR 8 DKK/EUR 7.5 NOK/DKK 1.1
hello can someone tell me how this calculatipn is done? Triangular arbitrage (demo version) • Quoted...
hello can someone tell me how this calculatipn is
done?
Triangular arbitrage (demo version) • Quoted rates Citibank quotes US dollars per euro Barclays Bank quotes U.S. dollars per pound sterling Dresdner Bank quotes euros per pound sterling USD1.3297 = 1 EUR USD1.5585 = 1 GBP EUR1.1722 = 1 GBP • Cross rate based on Citibank and Barclays Bank quotes: GBP/USD 1.5585 EUR/USD 1.1722 = GBP/EUR 1.1721 • This is .0001 less than the Dresdner Bank quote, which results in...
1. Inspired by his recent trip to the Great Pyramids, Citibank trader Ruminder Dhillon wonders if he can make an in...
1. Inspired by his recent trip to the Great Pyramids, Citibank trader Ruminder Dhillon wonders if he can make an intermarket arbitrage profit using Libyan dinars (LYD) and Saudi riyals (SAR). He has USD 1,000,000 to work with so he gathers the following quotes: Citibank quotes U.S. dollar per Libyan dinar $1.9619 = LYD 1.00 National Bank of Kuwait quotes Saudi riyal per Libyan dinar SAR 1.9107 = LYD 1.00 Barclays quotes U.S. dollar per Saudi riyal $0.2751 = SAR...
Inspired by his recent trip to the Great Pyramids, Citibank trader Ruminder Dhillon wonders if he...
Inspired by his recent trip to the Great Pyramids, Citibank trader Ruminder Dhillon wonders if he can make an intermarket arbitrage profit using Libyan dinars (LYD) and Saudi riyals (SAR). He has USD 1,000,000 to work with so he gathers the following quotes: Citibank quotes U.S. dollar per Libyan dinar $2.00 = LYD 1.00 National Bank of Kuwait quotes Saudi riyal per Libyan dinar SAR 5.00 = LYD 1.00 Barclays quotes U.S. dollar per Saudi riyal $0.25 = SAR 1.00...
Great Pyramids. Inspired by his recent trip to the Great Pyramids, Citibank trader Ruminder Dhillon wonders...
Great Pyramids. Inspired by his recent trip to the Great Pyramids, Citibank trader Ruminder Dhillon wonders if he can make an intermarket arbitrage profit using Libyan dinars (LYD) and Saudi riyals (SAR). He has USD1,000,000 to work with so he gathers the following quotes. Is there an opportunity for an arbitrage profit? Citibank quotes U.S. dollar per Libyan dinar National Bank of Kuwait quotes Saudi riyal per Libyan dinar Barclay quotes U.S. dollar per Saudi riyal $1.9324 LYD1.00 SAR 1.9405...
You are a U.S.-based treasurer with $1,000,000 to invest. The dollar-euro exchange rate is quoted as...
You are a U.S.-based treasurer with $1,000,000 to invest. The dollar-euro exchange rate is quoted as $1.60 = €1.00 and the dollar-pound exchange rate is quoted at $2.00 = £1.00. If a bank quotes you a cross rate of £1.00 = €1.20 how much money can an astute trader make? Multiple Choice • No arbitrage is possible 0 $1,160,000 0 $41,667 0 $40,000
8. (arbitrage) Assume that the pound sterling is worth Euro 3.80 in Paris and SFR 5.40...
8. (arbitrage) Assume that the pound sterling is worth Euro 3.80 in Paris and SFR 5.40 in Zurich. Show how British arbitrageurs can make profits given that one Swiss franc is worth 2 euros. What would be the profit per pound?
Question 1 a) Assume the following information: Quoted Price Value of one Euro in U.S. dollars...
Question 1 a) Assume the following information: Quoted Price Value of one Euro in U.S. dollars = 1.12 Value of one New Zealand dollar in U.S. dollars = 0.64 Value of one New Zealand in Euro - 0.55 Given this information, is triangular arbitrage possible? If so, explain the steps that would reflect triangular arbitrage, and compute the profit from this strategy if you had $2,000,000 to use. What market forces would occur to eliminate any further possibilities of triangular...
2. Assume the following information: Value of Canadian dollar in U.S. dollars Value of New Zealand...
2. Assume the following information: Value of Canadian dollar in U.S. dollars Value of New Zealand dollar in U.S. dollars Value of Canadian dollar in New Zealand dollars Quoted Price $0.93 $0.30 NZ$3.02 a) Calculate the profit from triangular arbitrage if you start with $1,000,000, show steps. b) Canadian dollar with respect to the U.S. dollar would rise, True or False? c) The value of the Canadian dollar with respect to the New Zealand dollar would decline, True or False?...
Problem 2 Assume the following quotes: Citibank National Westminster Deutsche Bank Assume that the trader has EUR 10,000,000. What profit can a trader make? NOK/EUR 8 DKK/EUR 7.5 NOK/DKK 1.1
hello can someone tell me how this calculatipn is
done?
Triangular arbitrage (demo version) • Quoted rates Citibank quotes US dollars per euro Barclays Bank quotes U.S. dollars per pound sterling Dresdner Bank quotes euros per pound sterling USD1.3297 = 1 EUR USD1.5585 = 1 GBP EUR1.1722 = 1 GBP • Cross rate based on Citibank and Barclays Bank quotes: GBP/USD 1.5585 EUR/USD 1.1722 = GBP/EUR 1.1721 • This is .0001 less than the Dresdner Bank quote, which results in...
1. Inspired by his recent trip to the Great Pyramids, Citibank trader Ruminder Dhillon wonders if he can make an intermarket arbitrage profit using Libyan dinars (LYD) and Saudi riyals (SAR). He has USD 1,000,000 to work with so he gathers the following quotes: Citibank quotes U.S. dollar per Libyan dinar $1.9619 = LYD 1.00 National Bank of Kuwait quotes Saudi riyal per Libyan dinar SAR 1.9107 = LYD 1.00 Barclays quotes U.S. dollar per Saudi riyal $0.2751 = SAR...
Great Pyramids. Inspired by his recent trip to the Great Pyramids, Citibank trader Ruminder Dhillon wonders if he can make an intermarket arbitrage profit using Libyan dinars (LYD) and Saudi riyals (SAR). He has USD1,000,000 to work with so he gathers the following quotes. Is there an opportunity for an arbitrage profit? Citibank quotes U.S. dollar per Libyan dinar National Bank of Kuwait quotes Saudi riyal per Libyan dinar Barclay quotes U.S. dollar per Saudi riyal $1.9324 LYD1.00 SAR 1.9405...
You are a U.S.-based treasurer with $1,000,000 to invest. The dollar-euro exchange rate is quoted as $1.60 = €1.00 and the dollar-pound exchange rate is quoted at $2.00 = £1.00. If a bank quotes you a cross rate of £1.00 = €1.20 how much money can an astute trader make? Multiple Choice • No arbitrage is possible 0 $1,160,000 0 $41,667 0 $40,000
8. (arbitrage) Assume that the pound sterling is worth Euro 3.80 in Paris and SFR 5.40 in Zurich. Show how British arbitrageurs can make profits given that one Swiss franc is worth 2 euros. What would be the profit per pound?
Question 1 a) Assume the following information: Quoted Price Value of one Euro in U.S. dollars = 1.12 Value of one New Zealand dollar in U.S. dollars = 0.64 Value of one New Zealand in Euro - 0.55 Given this information, is triangular arbitrage possible? If so, explain the steps that would reflect triangular arbitrage, and compute the profit from this strategy if you had $2,000,000 to use. What market forces would occur to eliminate any further possibilities of triangular...
2. Assume the following information: Value of Canadian dollar in U.S. dollars Value of New Zealand dollar in U.S. dollars Value of Canadian dollar in New Zealand dollars Quoted Price $0.93 $0.30 NZ$3.02 a) Calculate the profit from triangular arbitrage if you start with $1,000,000, show steps. b) Canadian dollar with respect to the U.S. dollar would rise, True or False? c) The value of the Canadian dollar with respect to the New Zealand dollar would decline, True or False?...
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