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Q.1) Two banks are quoting the following US$ rates:

Bank A :  46.7510 – 7630

Bank B :  46.7680 – 7770

Find out the arbitrage opportunities.

(Ans.: He would make profit of $ 107)

 

Q.2) Two banks are quoting the following US$ rates:

Bank A : USD INR 39.20 / 39.30

Bank B : USD INR 39.40 / 39.50

Find out the arbitrage opportunities.

(Ans.:  2,545 on Investment of 1 million )

 

Q.3) Two banks are quoting the following US$ rates:

Bank A :  46.7510 – 7670

Bank B :  46.7650 – 7770

Find out the arbitrage opportunities.

(Ans.: There is no arbitrage opportunity)

 

Q.4) Consider following spot quotations:

USD CHF 1.4950/1.4965 Zurich Bank

CHF USD 0.6690 / 0.6700 Bank of New York

Are there any arbitrage-gains possible?

(Ans.: 1,000,155 SFR. Thus gain of 155 SFr)

 

Q.5) Following rates are quoted by 3 different dealers:

0.6405    UK£ per US$              Dealer A

2.8606    AU$ per UK£             Dealer B

1.8402    AU$ per US$              Dealer C

Are there any arbitrage-gains possible?

(Ans.: Thus there is a net gain of 436 US$)

 

Q.6) JPY GBP            0.0052

GBP CHF       2.2832

JPY CHF        0.0130

(Ans.: Yen 94,954)

 

Q.7) USD/AUD                      Spot 1.3135/1.3155

USD/CAD                      Spot 1.4835/1.4855

The above quotes are available in the US market. At the same time CAD/AUD 0.8895/0.8915 is available in Sydney.

Find out the arbitrage opportunities through synthetic mechanism.

(Ans.: Gain 3096 CAD on 1 million CAD)

 

Q.8) Two banks are quoting the following Euro rates:

Bank A :  47.98 – 48.53

Bank B :  48.64 – 48.83

Find out the arbitrage opportunities. Calculate gains using  1 million.

(Ans.: Possible gains are 2267 Rupees through arbitrage)

 

Q.9) Two banks are quoting the following US$ rates:

Bank A :  47.9810 – 48.1110

Bank B :  48.0110 – 48.2350

Find out the arbitrage opportunities.

(Ans.: There is no arbitrage opportunity)

 

Q.10) Consider following spot quotations:

1.4960/1.4975             SFr per US$                Zurich Bank

0.6685/0.6690             US$ per SFr                Bank of New York

If there any arbitrage-gains possible, calculate it for USD 1 million.

(Ans.: Thus gain of 76 US $)

 

Q.11) Following rates are quoted by 3 different dealers:

0.0052             UK £ per ¥ :                Dealer A

2.2832             CHF per UK £ :          Dealer B

0.0130             CHF per ¥ :                 Dealer C

Are there any arbitrage-gains possible? Calculate gains on ¥ 1 million.

(Ans.: CHF/¥ 0.0119

Given quote is CHF/¥ 0.0130. Since there is a difference, arbitrage gains are possible)

 

Q.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)

 

Q.13) Consider the following Quotations:

CHF 1.4103/1.4124 (per USD)

USD 0.7066/0.7075 (per CHF)

Calculate possible arbitrage gains, if any.

(Ans.: Gain 728 CHF on Investment of 1 million CHF)

 

Q.14) Two Banks are quoting US dollar rates as follows:

Bank A:  43.2550/43.5075

Bank B:  43.7525/43.8560

Find out arbitrage possibilities.

(Ans.: Gain 5,631 Rupees on investment of  1 million)

 

Q.15) Three different Traders are quoting as follows:

Trader A 1.63 CAD per Euro.

Trader B 0.945 CHF per CAD.

Trader C 1.545 CHF per Euro.

Workout arbitrage possibilities.                                              (Mumbai University, October 2005)

(Ans.: Gains 3019 Euros on investing 1 million Euros)

 

Q.16) The spot rate for the French Franc is $ 0.1250 and the three month forward rate is $ 0.1260. Your company is prepared to speculate that the French France will move to $ 0.1400 by the end of three months.

a)      Are the quotations given direct or indirect quotations?

b)     How could the speculation be undertaken using the spot market only?

c)      How would the speculation be arranged using forward markets?

d)     If your company were prepared to put $ 1 million at risk on the deal, what would the profit turn out to be if expectations were met? Ignore all interest rate implications.

e)      [in chapter 8]                                                                     (Mumbai University, October 2004)

(Ans.: a) Direct)

 

 

Q.17) Bank A : 100 INR GBP 1.2450/1.2500

Bank B : 100 INR GBP 1.2530/1.2550

Calculate arbitrage, if any.

(Ans.: INR 2400 on Million)

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