# Triangular Arbitrage Sums

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Triangular Arbitrage Sums

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(1)Â Â  Trader AÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  EUR USDÂ Â Â Â Â Â  1.20

Trader BÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  GBP USDÂ Â Â Â Â Â  1.60

Trader CÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  EUR GBPÂ Â Â Â Â Â  0.7575

Calculate Arbitrage, if any.

(Ans.: 10,000)

(2)Â Â  Trader XÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  EUR USDÂ Â Â Â Â Â  1.21Â Â Â Â  1.22

Trader YÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  GBP USDÂ Â Â Â Â Â  1.61Â Â Â Â  1.62

Trader ZÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  EUR GBPÂ Â Â Â Â Â  0.76Â Â Â Â  0.77

Calculate Arbitrage, if any.

(Ans.: 2,951)

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(3)Â Â  BarclaysÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  USD CHFÂ Â Â Â Â Â  0.91Â Â Â Â  0.92

HSBCÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â  CHF CADÂ Â Â Â Â  1.12Â Â Â Â  1.13

ChessÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â  CAD USDÂ Â Â Â Â  0.76Â Â Â Â  0.77

Calculate Arbitrage, if any.

(Ans.: 1,988)

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

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

(ii)Â Â  Indian exporter has to sell a million Pounds. Should he sell Â£ to Barclays to get \$ to SBI to get rupees directly sell Â£ 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)Â Â  AUDÂ Â Â Â Â Â Â Â  USDÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  0.9867Â Â Â Â Â Â Â Â Â Â Â Â  0.9887

100 INRÂ Â Â  USDÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  1.9250Â Â Â Â Â Â Â Â Â Â Â Â  1.9270

100 INRÂ Â Â  AUDÂ Â Â Â Â Â Â Â Â Â Â Â Â Â  1.9420Â Â Â Â Â Â Â Â Â Â Â Â  1.9450

Calculate Arbitrage, if any.

(Ans.: 1,029)

(6)Â Â  100 JPYÂ Â Â  CADÂ Â Â Â Â Â Â Â Â Â Â Â Â Â  1.3510Â Â Â Â Â Â Â Â Â Â Â Â  1.3540

CADÂ Â Â Â Â Â Â Â  CHFÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â  0.8810Â Â Â Â Â Â Â Â Â Â Â Â  0.8840

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

(ii)Â Â  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)

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(7)Â Â  100 INRÂ Â Â  AUDÂ Â Â Â Â Â Â Â Â Â Â Â Â Â  1.96Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â  1.97

USDÂ Â Â Â Â Â Â Â Â  INRÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â  52Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â  53

(i)Â Â Â Â  Calculate USD AUD cross rate

(ii)Â Â  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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