Exercise $1$:

Part A: Given the following foreign exchange rates:

a$.$ Determine the outright forward rate for each maturity

b$.$ Determine the mid$-$rate for each maturity

Part B: Given the following foreign exchange rates:

a$.$ Determine the outright forward rate for each maturity

b$.$ Determine the mid$-$rate for each maturity

Exercise $2$:

Use the following spot and forward bid$-$ask rates for the USD$/$EUR exchange rate to answer the following questions:

a$.$ What is the mid$-$rate for spot and forward rates?

b$.$ What is the annual forward premium$/$discount$?$

Exercise $3$:

Assume you have the following quotes, calculate how a market trader at Citibank with USD $\backslash (1,000,000\backslash )$ can make a profit from arbitrage. Exercise $1$:

Part A: Given the following foreign exchange rates:

a$.$ Determine the outright forward rate for each maturity

b$.$ Determine the mid$-$rate for each maturity

Part B: Given the following foreign exchange rates:

a$.$ Determine the outright forward rate for each maturity

b$.$ Determine the mid$-$rate for each maturity

Exercise $2$:

Use the following spot and forward bid$-$ask rates for the USD$/$EUR exchange rate to answer the following questions:

a$.$ What is the mid$-$rate for spot and forward rates?

b$.$ What is the annual forward premium$/$discount$?$

Exercise $3$:

Assume you have the following quotes, calculate how a market trader at Citibank with USD $\backslash (1,000,000\backslash )$ can make a profit from arbitrage. Exercise $4$:

The following exchange rates are available to you. $($You can buy or sell at the stated rates.$)$ Assume you have an initial SF$12,000,000.$ Can you make a profit via triangular arbitrage? If so$,$ show the steps and calculate the amount of profit in Swiss francs $($Swissies$).$

Mt$.$ Fuji Bank $\backslash (92\mathrm{.}00/\backslash$$ $\backslash )$

Mt$.$ Rushmore Bank SF$1\mathrm{.}02/\backslash$$

Mt$.$ Blanc Bank $\backslash (90\mathrm{.}00/\backslash )$ SF