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Question 2 Consider the following (hypothetical) FX quotations at leading banks: Citibank quotes the USD / Euro rate as Barclays quotes the USD/GBP rate as Deutsche Bank quotes the Euro / GBP rate as USD 1.0820 = 1 Euro USD 1.3114 = 1 GBP Euro 1.2122 = 1 GBP a) Using Cross-rates, come up with a quotation for the Euro / GBP rate. b) Is there an opportunity to make some money through Triangular Arbitrage? Show all your workings.

Question 2 Consider the following (hypothetical) FX quotations at leading banks: Citibank quotes the USD / Euro rate as Barclays quotes the USD/GBP rate as Deutsche Bank quotes the Euro / GBP rate as USD 1.0820 = 1 Euro USD 1.3114 = 1 GBP Euro 1.2122 = 1 GBP a) Using Cross-rates, come up with a quotation for the Euro / GBP rate. b) Is there an opportunity to make some money through Triangular Arbitrage? Show all your workings.

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Question 2 Consider the following (hypothetical) FX quotations at leading banks: Citibank quotes the USD / Euro rate as Barclays quotes the USD/GBP rate as Deutsche Bank quotes the Euro / GBP rate as USD 1.0820 = 1 Euro USD 1.3114 = 1 GBP Euro 1.2122 = 1 GBP a) Using Cross-rates, come up with a quotation for the Euro / GBP rate. b) Is there an opportunity to make some money through Triangular Arbitrage? Show all your workings.
Transcribed Image Text:Question 2 Consider the following (hypothetical) FX quotations at leading banks: Citibank quotes the USD / Euro rate as Barclays quotes the USD/GBP rate as Deutsche Bank quotes the Euro / GBP rate as USD 1.0820 = 1 Euro USD 1.3114 = 1 GBP Euro 1.2122 = 1 GBP a) Using Cross-rates, come up with a quotation for the Euro / GBP rate. b) Is there an opportunity to make some money through Triangular Arbitrage? Show all your workings.
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