Triangular Arbitrage Sums
(1) Trader A EUR USD 1.20
Trader B GBP USD 1.60
Trader C EUR GBP 0.7575
Calculate Arbitrage, if any.
(Ans.: 10,000)
(2) Trader X EUR USD 1.21 1.22
Trader Y GBP USD 1.61 1.62
Trader Z EUR GBP 0.76 0.77
Calculate Arbitrage, if any.
(Ans.: 2,951)
(3) Barclays USD CHF 0.91 0.92
HSBC CHF CAD 1.12 1.13
Chess CAD USD 0.76 0.77
Calculate Arbitrage, if any.
(Ans.: 1,988)
(4) State Bank offers dollar for Rupees 50 and pound for Rupees 82. Barclays bank offers Pound for $ 1.65
(i) Indian importer has to buy a million Pounds. Should he buy $ from SBI and convert $ to £ in Barclays or he should directly buy £ from SBI?
(ii) Indian exporter has to sell a million Pounds. Should he sell £ to Barclays to get $ to SBI to get rupees directly sell £ 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) AUD USD 0.9867 0.9887
100 INR USD 1.9250 1.9270
100 INR AUD 1.9420 1.9450
Calculate Arbitrage, if any.
(Ans.: 1,029)
(6) 100 JPY CAD 1.3510 1.3540
CAD CHF 0.8810 0.8840
(i) Calculate cross rate for 100 JPY in terms of CHF
(ii) 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)
(7) 100 INR AUD 1.96 1.97
USD INR 52 53
(i) Calculate USD AUD cross rate
(ii) 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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