You work for a hedge fund and your job is to try make profits from trading in foreign exchange. You see the following spot exchange rates for the number of YEN per USD (, YEN/USD ), for the number of SFR per USD ( i.e., SFR/USD), and for the number of YEN per SFR ( , SFR/YEN) being quoted by a major international bank. Bank bid - ask YEN/ USD 107.25 - 107.28 SFR/ USD 1, 3260 - 1.3265 YEN /SFR 80.75 - 80.8 Suppose that you are authorized by your boss to use 20 mio SFR as risk capital , how many SFR can you make in arbitrage profit (i.e. , guaranteed risk -free profit )

Answer rating: 100% (QA)

To find the arbitrage profit you need to identify if theres a triangular arbitrage opportunity Trian... View the full answer