You have 1000000 CHF Assume the following exchange rates are quoted: Bank of America CHF/USD 1.56 Barclays Bank GBP/USD 1.71 Deutsche Bank GBP/CHF 1.13 Is triangular arbitrage possible? Describe the procedure step by step. What's the profit?
You have 1000000 CHF Assume the following exchange rates are quoted: Bank of America CHF/USD 1.56 Barclays Bank GBP/USD 1.71 Deutsche Bank GBP/CHF 1.13 Is triangular arbitrage possible? Describe the procedure step by step. What's the profit?
Chapter7: International Arbitrage And Interest Rate Parity
Section: Chapter Questions
Problem 51QA
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You have 1000000 CHF
Assume the following exchange rates are quoted:
Bank of America CHF/USD 1.56
Barclays Bank GBP/USD 1.71
Deutsche Bank GBP/CHF 1.13
Is triangular arbitrage possible? Describe the procedure step by step. What's the profit?
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