Arbitrage Illustration 12


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Arbitrage Illustration 12

The following quotes are obtained in New York:

GBP USD                   1.5275/85

USD CHF                   1.5530/35

(1)   What do you expect for GBP CHF spot in London?

(2)   If London Bank quotes 2.3730/40, can you make arbitrage profits? If so, how?

(Ans.: 1) GBP CHF spot rate is 2.3722 – 2.3745

           2) Hence there is no arbitrage opportunity)


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