Two Point Arbitrage Illustration 3


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Two Point Arbitrage Illustration 3

 

In London, a dealer quotes:

DM per UK Pound Spot 3.5250/55.

¥ per UK Pound Spot 180.0080/181.0030.

What do you expect the ¥ per DM rate in Frankfurt?

If in Frankfurt you get a quote ¥ per DM spot 51.1530/51.2550, is there an arbitrage opportunity?

(Ans.: 51.0589 – 51.3484, No arbitrage opportunity)

 


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