14 years ago 14 years ago

Triangular Arbitrage Illustration 10

by Score Tutorial 14 years ago14 years ago

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Triangular Arbitrage Illustration 10

The following foreign exchange quotes are available in New York.

AUD 1 = USD 0.7602/0.7613

CAD 1 = USD 0.6732/0.6741

Calculate the cross currency quote for 1 CAD in terms of AUD.

The following quote is available in Zurich.

CAD 1 = AUD 0.8895/0.8915

Compare this with the calculated cross currency quote and state whether arbitrage opportunity exists. Calculate the same (if any) for 1 million CAD. (Oct. 2011)

(Ans.: (a) Cross rate 1 CAD = AUD 0.8843/0.8867 (b) Gain 3,112)

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Triangular Arbitrage Illustration 10

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