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A Home Layout Document Elements Tables charts SmartArt Review graph Times New Roman 12 A A Aa List Pa European Terms American Terms Bank Quotations New Zealand dollar NZD Singapore dallar CSSD

00% A Home Layout Document Elements Tables charts SmartArt Review graph Times New Roman 12 A A Aa List Pa European Terms American Terms Bank Quotations New Zealand dollar (NZD) Singapore dallar CSSD) We know that SANZDSGD S (SWSGD) x Sh(NZDYS .6135 x 1.375 8436. By taking the reciprocal 1/Sh0NZDSGD) Sa(SGD/NZD) 854. So, S NZDYSGD) Sa(SASGD) x S (NZDS) .6140 x 1.3765-.8452. The reciprocal, llS NZD/SGD S (SGDVNZD) 832. Thus, the NZD/SGD bid-ask spread is NZDO.8436-NZDO.8452 and the SGD/NZD spread is SGDi 1832-SGDi 1854 6. Given the following quotations and find out if there is any arbitrage opportunity. If yes, how to take advantage of the arbitrage opportunity? Suppose you start with $1million. Show your transactions and calculate the profit. What if you start with £1 million Ei million? New York:$19422E. Frankfort: $1.4925E London: €1.2998/E Ask Bank Quotations SI 9717 Deutsche Bank SI 9712 si 4738 si 4742 Credit Lyonnais ES Sec 1 Pages: 2 of 6 words: 45 of 966 EL Print Layout View Search in Documen Aa Text Box Shape Picture Themes 100%

We know that S^(ZD/SGD) = S^(S/SGD) x S'(NZD/S) = .6135 times 1.3751 = .8436. By taking the reciprocal, 1/S^(NZD/SGD) = S"(SGO/NZD) = 1.1854. So, S^(NZD/SGD) = S^S/SGD) x S^(NZD/S) = .6140 times 1.3765 = .8452. The reciprocal, 1/S^(NZD/SGD) = S^(SGD/NZD) = 1.1832. Thus, the NZD/SGD bid-ask spread is NZD0.8436-NZD0.8452 and the SGD/NZD spread is SGD1.1832-SGD1.1854 Given the following quotations and find out if there is any arbitrage opportunity. If yes, how to take advantage of the arbitrage opportunity? Suppose you start with $1 million. Show your transactions and calculate the profit What if you start with pound 1 million, euro 1 million?

 

Apr 01 2020 View more View Less

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