Question: Problem: Triangular Arbitrage Strategy : The following Quotations are available to you. (You may either buy or sell at the stated rates) Singapore Bank: Singapore

Problem: Triangular Arbitrage Strategy:

The following Quotations are available to you. (You may either buy or sell at the stated rates)

Singapore Bank: Singapore dollar quote for Korean Won Won 714.00/S$

Hong Kong Bank: HK$ quote for Singapore dollars HK$ 4.70/S$

Korean Bank: Korean won quote for Hong Kong dollars Won 150.00/HK$

  • Assume you have an initial HK$1,000,000. Is triangular Arbitrage possible? If so, explain the Steps, and compute your profit?

What are the implications of trading spreads and commission costs for this profit?

(Read: Class notes, and problem presented in class)

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