7

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TRIANGULAR ARBITRAGE

 

(1)   Trader A                EUR USD       1.20

Trader B                GBP USD       1.60

Trader C                EUR GBP       0.7575

Calculate Arbitrage, if any.

(Ans.: 10,000)

(2)   Trader X                EUR USD       1.21     1.22

Trader Y                GBP USD       1.61     1.62

Trader Z                EUR GBP       0.76     0.77

Calculate Arbitrage, if any.

(Ans.: 2,951)

 

(3)   Barclays                USD CHF       0.91     0.92

HSBC                   CHF CAD      1.12     1.13

Chess                     CAD USD      0.76     0.77

Calculate Arbitrage, if any.

(Ans.: 1,988)

 

(4)   State Bank offers dollar for Rupees 50 and pound for Rupees 82. Barclays bank offers Pound for $ 1.65

(i)     Indian importer has to buy a million Pounds. Should he buy $ from SBI and convert $ to £ in Barclays or he should directly buy £ from SBI?

(ii)   Indian exporter has to sell a million Pounds. Should he sell £ to Barclays to get $ to SBI to get rupees directly sell £ to SBI?

(iii) Quantify arbitrage possibility in these rates for a million.

(Ans.: SBI Barclays cross rate for Pound is Rs. 82.50. SBI rate is 82. Importer should buy direct from SBI and exporter should sell through two banks. Arbitrage gain of 6098 on million)

 

(5)   AUD         USD                0.9867             0.9887

100 INR    USD                1.9250             1.9270

100 INR    AUD               1.9420             1.9450

Calculate Arbitrage, if any.

(Ans.: 1,029)

 

(6)   100 JPY    CAD               1.3510             1.3540

CAD         CHF                0.8810             0.8840

(i)     Calculate cross rate for 100 JPY in terms of CHF

(ii)   If available rate in market is 100 JPY CHF 1.1989/1.2000.

Calculate arbitrage for a million.

(Ans.: 1.1902/1.1969 and Arbitrage 1640)

 

(7)   100 INR    AUD               1.96                 1.97

USD          INR                 52                    53

(i)     Calculate USD AUD cross rate

(ii)   If ANZ offers USD AUD 1.0120/1.10140 Calculate arbitrage.

(Ans.: USD AUD Cross rate 1.0192/1.0441. Arbitrage 5128)

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