Problem: Arbitrage Opportunity

A corporate treasury with operations in New York simultaneously calls Citibank in mid-town (New York City) and Barclays in London. The two banks give the following quotes at the same time on the euro.

Assumptions

Values

Beginning funds

$6,000,000.00

Citibank NY quotes:

Bid ($/euro) buy

1.1640

Ask ($/euro) sell

1.1660

Barclays London quotes:

Bid ($/euro)

1.1630

Ask ($/euro)

1.1650