Question: Optimization question: Linear Programming and Simplex Method 2 - The table below presents hypothetical bid/ask quotes for four major currencies at a given date/time: Pair

Optimization question: Linear Programming and Simplex Method

2 - The table below presents hypothetical bid/ask quotes for four major currencies at a given date/time: Pair Bid Ask EUR/USD 0.87060 0.87063 GBP/USD 1.42790 1.42796 USD/JPY 133.330 133.333 EUR/GBP |0.60970 0.60972 EUR/JPY 116.140 116.144 GBP/JPY 190.480 190.476 The first currency in a currency pair is called the base currency. The bid and the ask are always quoted in terms of the base currency. For example, if you are buying on EUR/USD trade, then you are effectively receiving EUR in exchange for USD at the ask quote. The website below provides further instructions on how to interpret and understand bid/ask quotes. https://www.oanda.com/forex-trading/learn/intro-to-currency-trading/conventions/currency-pairs You were given USD 1 to attempt an arbitrage trade, assume no transaction costs. A. Write down a linear programming problem to buy and sell quantities of the base currencies and arbitrage/profit of at most USD 10k

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