Assume you are a trader with ANZ. The following quotes became available to you. Type your...
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Assume you are a trader with ANZ. The following quotes became available to you. Type your ID number, for example, 2123456 into the purple cell. This will show your beginning funds Assumptions Beginning funds in USD Quote by Industrial Bank of Korea (KRW/AS) Quote by NAB (USD/AS) Quote by Citibank (KRW/USD) Values 888.75 0.6745 1,321.57 a) Ignore bid-ask spreads, can you make a triangular arbitrage profit by initially selling US dollars for Australian dollars? Show all your workings (7 marks) Step 1: Sell USD to buy AUD Step 2: Sell AUD for KRW Step 3: Sell KRW to get USD Profit/Loss b) Ignore bid-ask spreads, can you make a triangular arbitrage profit by initially selling US dollars for Korean wons? Show all your workings (7 marks) Step 1: Sell USD to buy KRW Step 2: Sell KRW for AUD Step 3: Sell AUD to get USD Profit/Loss c) What KRW/AS price will eliminate triangular arbitrage? Explain (2 marks) A G Assume you are a trader with ANZ. The following quotes became available to you. Type your ID number, for example, 2123456 into the purple cell. This will show your beginning funds Assumptions Beginning funds in USD Quote by Industrial Bank of Korea (KRW/AS) Quote by NAB (USD/AS) Quote by Citibank (KRW/USD) Values 888.75 0.6745 1,321.57 a) Ignore bid-ask spreads, can you make a triangular arbitrage profit by initially selling US dollars for Australian dollars? Show all your workings (7 marks) Step 1: Sell USD to buy AUD Step 2: Sell AUD for KRW Step 3: Sell KRW to get USD Profit/Loss b) Ignore bid-ask spreads, can you make a triangular arbitrage profit by initially selling US dollars for Korean wons? Show all your workings (7 marks) Step 1: Sell USD to buy KRW Step 2: Sell KRW for AUD Step 3: Sell AUD to get USD Profit/Loss c) What KRW/AS price will eliminate triangular arbitrage? Explain (2 marks) A G
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a Triangular Arbitrage by Selling USD for AUD Given Beginning funds in USD 1000000 USD to AUD exchan... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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