Suppose we observe the following quotes: Bid Ask FR/USD 1.5971 1.5979 AUD/USD 1.8215 1.8220 AUD/FR 1.1450...
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•Suppose we observe the following quotes: Bid Ask FR/USD 1.5971 1.5979 AUD/USD 1.8215 1.8220 AUD/FR 1.1450 1.1458 •Do we have an arbitrage opportunity? [2 MARKS] •If so, how much do we earn with USD1 million available to trade? [8 MARKS] Suppose we start with the AUD/FR cross rate •Suppose we observe the following quotes: Bid Ask FR/USD 1.5971 1.5979 AUD/USD 1.8215 1.8220 AUD/FR 1.1450 1.1458 •Do we have an arbitrage opportunity? [2 MARKS] •If so, how much do we earn with USD1 million available to trade? [8 MARKS] Suppose we start with the AUD/FR cross rate
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AUDFR Cross rate AUDUSD FRUSD ie Bid 18215 15979 Cross Division BidAsk an... View the full answer
Related Book For
Finance Applications and Theory
ISBN: 978-0077861681
3rd edition
Authors: Marcia Cornett, Troy Adair
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