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Arbitrage Triangle
Are you guys seeing a mistake in this problem? Or is it me - bugged out at 1AM doing Arb Triangle questions?...
Schweser Qbank:
Donna Ackerman, CFA, is an analyst in the currency trading department at State Bank. Ackerman is training a new hire, Fred Bos, a recent college graduate with a BA in economics.
Ackerman and Bos have the following information available to them:
Spot Rates
Bid Price Ask Price
USD:EUR €1.0000 €1.0015
USD:GBP ₤2.0000 ₤2.0100
GBP:EUR €0.3985 €0.4000
Ackerman and Bos are interested in pursuing profitable arbitrage opportunities for State Bank. Using the appropriate bid or ask rates for the USD:EUR and the USD:GBP, what will be the profits from triangular arbitrage, starting with $1,000?
A) $243.78.
B) $248.46.
C) $245.65. |
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发表于 2011-7-11 19:39
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