Arbitrage Illustration 12
The following quotes are obtained in New York:
GBP USDÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â 1.5275/85
USD CHFÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â 1.5530/35
(1)Â Â What do you expect for GBP CHF spot in London?
(2)Â Â 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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