Michael Milkem, an ambitious MBA student from Anchorage, Alaska, is looking for free lunches on the foreign

Question:

Michael Milkem, an ambitious MBA student from Anchorage, Alaska, is looking for free lunches on the foreign exchange markets. Keeping his eyes glued to his Reuters screen until the wee hours, he spots the following quotes in Tokyo:

Given the above quotes, can Michael find any arbitrage opportunities?

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Related Book For book-img-for-question

International Finance Putting Theory Into Practice

ISBN: 978-0691136677

1st edition

Authors: Piet Sercu

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Question Posted: Aug 07, 2017 09:43 AM

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Michael Milkem, an ambitious MBA student from Anchorage, Alaska, is looking for free lunches on the foreign

Question:

Exchange rate: Spot 180-day Forward Interest rates (simple, p.a.) NZD/USD 1.59-1.60 PY/usD 100-101 NzD/cBP 225-2.26150-152 NZD/USD 1.615-1.626 JPY/usD 97.96-98.42 NZD/CBP 2265-2.274 JPY/cBP 146.93-149.19 180 days 5%-5.25% 890-8.2590 390-3.25 % 7%-7.25% USD JPY GBP NZD

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The synthetic 180day forward quotes are nzdusd 161...View the full answer

International Finance Putting Theory Into Practice

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