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Offline Ted Azarmi

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Triangular Arbitrage HomeWork Presentation
« on: May 18, 2009, 05:05:52 pm »
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« Last Edit: December 13, 2009, 08:54:38 pm by Ted Azarmi »

Offline Melanie

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Re: Triangular Arbitrage HomeWork Presentation
« Reply #1 on: March 09, 2010, 08:07:15 pm »
DHBW IB08_ International Finance  ;D

Homework to Triangular Arbitrage: London/Japan

Currency Exchange Rates according to www.OANDA.com (09.03.2010):

$1 = 90,33 Yen
$1 = 0,73231 €

London:
90,33 Yen/$ x $/0,73231 € = 123,35 Yen/€

Tokyo Spot Market:
Quoted Rate: 124,05 Yen/€

--> EURO is more expensive in TOKYO because 124,05 Yen/€ > 123,35 Yen/€.

Input: 1.000.000 €

1. Chanage € to Yen in Tokyo:
1.000.000 € x 124,05 Yen/€ = 124.050.000 Yen

2. Go to London and change Yen to EURO in two stepts (London is a $ based market!):
2.1. Change Yen to Dollar in London:
124.050.000 Yen x $/90,33Yen = 1.373.297,908 $
2.2. Change Dollar to € in London:
1.373.297,908 $ x 0,73231 €/$ = 1.005.679,79 €

Arbitrage Profit = Output - Input
                     = 1.005.680 € - 1.000.000 € = 5.680 €

Offline malaaeld

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Re: Triangular Arbitrage HomeWork Presentation
« Reply #2 on: October 12, 2016, 11:12:35 am »
$1=101.30 Yen
$1=0.90 Euro
Implied rate= 101.30yen/0.90 euro , In London

Tokyo spot market:
quoted rate = 113.882yen/euro
Euro is more expensive in Tokyo because 113.882yen/euro >101.295 yen/euro

Input 1,000,000 euro
1) change euro to yen in Tokyo
1,000,000 euro * 113.882 yen/euro = 113,882,000 yen

2) change yen to euro in London
a. change yen to dollar
113,882,000 yen/$ /101.30 yen = $1,124,205.331
b. change dollar to euro
$1,124,205.331 * 0.90 euro/$ = 1,011,784.798 Euro

Arbitrage Profit:
euro 1,011,784.798 - euro 1,000,000 = 11,784.79 Euro

Offline malaaeld

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Re: Triangular Arbitrage HomeWork Presentation (Mai Alaaeldin Elmonshed)
« Reply #3 on: October 12, 2016, 11:20:54 am »
$1=101.30 Yen
$1=0.90 Euro
Implied rate= 101.30yen/0.90 euro , In London

Tokyo spot market:
quoted rate = 113.882yen/euro
Euro is more expensive in Tokyo because 113.882yen/euro >101.295 yen/euro

Input 1,000,000 euro
1) change euro to yen in Tokyo
1,000,000 euro * 113.882 yen/euro = 113,882,000 yen

2) change yen to euro in London
a. change yen to dollar
113,882,000 yen/$ /101.30 yen = $1,124,205.331
b. change dollar to euro
$1,124,205.331 * 0.90 euro/$ = 1,011,784.798 Euro

Arbitrage Profit:
euro 1,011,784.798 - euro 1,000,000 = 11,784.79 Euro

Offline Yara Ahmed

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Re: Triangular Arbitrage HomeWork
« Reply #4 on: October 18, 2016, 12:45:41 am »
Question1:

    IN London: 107.91 yen / 0.87 euros=1 then in London 1 euro= 124.034 yen
    In Tokyo : 1 euro= 128.03 yen, so euros in Tokyo is expensive
 
   Step1: sell 1,000,000 euros in tokyo at 128.03 yen/euro
              1,000,000*128.03=128,030,000 yen
   Step2: convert 128,030,000 yen into $ to buy in london at 124.034 yen
              128,030,000 yen/107.91 yen= $ 1,186,451.67
   step3: convert $1,186,451.67 into euros in London at 0.87 euros
               $1,186,451.67 * 0.87 euros= 1,032,212.96 euros
Arbitrage profit=
                1,032,212.96-1,000,000= 32,212.96 euros




Question2:

      $1=103.30 yen
      $1=0.90 euros
      quoted rate in tokyo= 118.882 yen/ euro

 In London:  Implied rate= 103.30 yen/0.90 euros=1, so it will be equal to 114.77 yen
 In tokyo euro is more expensive, so we will sell in tokyo and buy in London
 
     Step1: sell 1,000,000 euros in tokyo at 118.882 yen/euro
              1,000,000*118.882=118,882,000 yen
    Step2: convert 118,882,000 yen into $ to buy in london at 103.30 yen
              118,882,000 yen/103.30 yen= $ 1,150,842.2
    step3: convert $ 1,150,842.2 into euros in London at 0.90 euros
               $1,150,842.2* 0.90 euros= 1,035,757.99 euros
Arbitrage profit=
       1,035,757.99-1,000,000= 35,757.99 euros

Offline wbechtol

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Re: Triangular Arbitrage HomeWork WB
« Reply #5 on: March 14, 2018, 07:00:08 pm »
$1 = 106,229 Yen
$1 = 0,809 €uro

London:
106,229000 Yen per $ / 0,807852 $ per € = 131,4956205 Yen per €

Tokyo Spot Market:
Quoted Rate: 131,7700 Yen per €

--> EURO is more expensive in TOKYO because 131,7700 Yen per € (Tokyo) > 131,4956205 Yen per € (London)

Input: 1.000.000 €

1. Chanage € to Yen in Tokyo:
1.000.000 € x 131,495 Yen per € = 131.495.000 Yen

2. Go to London and change Yen to EURO in two stepts (London is a $ based market!):

2.1. Change Yen to Dollar in London:

   131.495.000 Yen / 106,229 Yen per $ = 1.237844,656 $

2.2. Change Dollar to € in London:

   1.237844,656 $ x 0,809 € per $ = 1.001.416,327 €

Arbitrage Profit = Output - Input
                     = 1.001.416,327 € - 1.000.000 € = 1.416,327 €

Offline Arthur

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Re: Triangular Arbitrage HomeWork
« Reply #6 on: March 19, 2018, 09:27:59 pm »
Homework 193291

$1 = 106.1 ¥
$1 = 0,81€

London:
106.1 ¥ per $ / 0,81 € per $ = 132,625 ¥ per €

Tokyo Spot Market:
Quoted Rate: 130.125¥ per €

--> EURO is more expensive in London because 132,625 ¥ per €  > 130.125 ¥ per € (Tokyo)

Input: 1.000.000 €

Step 1: buy $ in London : 1.000.000€ x 1,2345 $ per € = 1.234.567,9$
         
Step 2: convert 1.234.567,9$ into ¥ . to buy in london at 106.1¥
              1.234.567,9$ x 106.1¥ per $ = 1309876654,3 ¥

Step 3: sell 1309876654,3 ¥ in Tokyo at 1€ = 130,125¥
              1309876654,3 ¥ : 130,125¥ per €= 1.006,629,428€

Arbitrage profit=
                1.006,629,428-1,000,000= 6.629,428 €

Offline majimenez

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Re: Triangular Arbitrage HomeWork Presentation
« Reply #7 on: October 07, 2019, 08:24:46 pm »
Maria Jiménez Gómez-Quintero 204870

Offline cordonez

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Re: Triangular Arbitrage HomeWork Presentation
« Reply #8 on: October 07, 2019, 11:25:56 pm »
INTERNATIONAL FINANCE - EXERCISE TRIANGULAR EXERCISE
Celia Diez Ordóñez (ID 204861)

$-based spot market quotes in London
$1 = 108.91 Yen
$1 = 0.90 Yen
Implied rate
108.91 Yen / 0.90€ = 1€
1€ = 121.01 Yen

Tokyo spot market
Quote rate
1€ = 117.16 Yen
In which market is Euro expensive?
Euro (€) is more expensive in London because we pay 121.01 Yen > 117.16 Yen for 1€ in London (more than in Tokyo).

Arbitrage
Sell 1,000,000€ in Tokyo:
→ 1,000,000 € * 117.16¥/€ = 117,160,000 ¥

Convert Yen ¥ into Dollar $ in London:
→ 117,160,000 ¥ / 108.91 ¥/$ = 1,075,750.62 $

Convert Dollar $ into Euro € in London:
→ 1,075,750.62 $ * 0.90 $/€ = 968,175.558 €

Arbitrage Profit:
→ 968,175.558 € - 1.000.000 € = -31,824.442 €

Offline alfernan

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Re: Triangular Arbitrage HomeWork Presentation
« Reply #9 on: October 07, 2019, 11:48:41 pm »
Yoel Algaba Fernández (ID: 204860)

Offline Timo

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Re: Triangular Arbitrage HomeWork Presentation
« Reply #10 on: October 21, 2019, 12:15:10 pm »
$-based spot market quotes in London
$1=112,24 Yen
$1=0,93 Euro
Implied Rate
112,24/0,93=120,69 Yen
1 euro = 120,69 Yen
Tokyo spot market quoted rate
1 euro=121,25 Yen
In which market is Euro expensive?
Euro is more expensive in London, because 120,69 Yen/€ < 121,25 Yen/€
1. Sell 1 000 000€ in Tokyo = 121 250 000 Yen
2. Convert Yen to $ in London
   121 250 000 Yen = 1 080 274, 41$
3. Convert $ to € in London
   1 080 274, 41€ = 1 004 655, 20€
Profit 1 004 655, 20 – 1 000 000 = 4655, 20 €

Offline Timo

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Re: Triangular Arbitrage HomeWork Presentation
« Reply #11 on: October 21, 2019, 12:17:25 pm »
Timo Lepistö, 204867

$-based spot market quotes in London
$1=112,24 Yen
$1=0,93 Euro
Implied Rate
112,24/0,93=120,69 Yen
1 euro = 120,69 Yen
Tokyo spot market quoted rate
1 euro=121,25 Yen
In which market is Euro expensive?
Euro is more expensive in London, because 120,69 Yen/€ < 121,25 Yen/€
1. Sell 1 000 000€ in Tokyo = 121 250 000 Yen
2. Convert Yen to $ in London
   121 250 000 Yen = 1 080 274, 41$
3. Convert $ to € in London
   1 080 274, 41€ = 1 004 655, 20€
Profit 1 004 655, 20 – 1 000 000 = 4655, 20 €