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Author Topic: 200583 Homework Triangle Arbitrage  (Read 8 times)

Offline AnnaSm

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200583 Homework Triangle Arbitrage
« on: January 15, 2020, 10:11:27 pm »
In Russia, Moscow Exchange (Moex)
today 15.01.20 17.44

USD/RUB = 61.41
EUR/RUB = 68.48       This means EUR/USD = 68.48/61.41 =1.115(implied rate in Moscow)

At the same time today in London (LSE)
EUR/Dollar = 1.12
This means, in Moscow Euro is cheaper.
I took my sallary of 1000 Euro, and sold them in London for USD. Get 1120$. Went in a hurry to Moscow. Bought there a lot of Rubles (1120$ * 61.41= 68779.2 Rub), and there immediately bought Euros (68779.20 / 68.48 = 1004.369 Euros). And got a profit of 4.37 Euros).