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Offline OliverK

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Re: Solutions Triangular Arbitrage
« Reply #15 on: April 27, 2009, 03:32:23 pm »
Please find my homework attached,

best regards
Oliver Kroll

Offline ellmar

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Re: Solutions Triangular Arbitrage
« Reply #16 on: April 27, 2009, 04:07:44 pm »
Triangular Arbitrabe Exercise

1) Implied Rate

$-based spot market quotes in London
$1 = 107.5 ¥
$1 = 0.85 €
   > Implied rate: 107,5¥=0,85€
                             1€= 126,47¥

Tokyo Spot MArket
1€= 128,03¥

So € is more expensive in Tokyo!

2) Triangular Arbitrage

Sell 1.000.000 € in Tokyo at 128,03¥/€!
Now we have 128.030.000¥.

Convert 128.030.00¥ to $ in London!
                                   
                                    1$=107,5¥
              128.030.000/107,5=1.190.976,74$

Convert 1.190.976,74$ to € in London!

                                      1$=0,85€
                1.190.976,74*0,85= 1.012.330,23 €

So we have an arbitrage profit of 1.012.330,23-1.000.000= 12.330,23€.

3) Exchange Rate

1$=96,9619¥
1$= 0,755744€

Implied Rate: 1€= 96,9619/0,755744= 128,3¥

Best regards

Ellmar Jungschaffer


Offline carolin.schmidt

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Re: Solutions Triangular Arbitrage
« Reply #17 on: April 27, 2009, 09:35:45 pm »
Solution attached.

See you Thursday.
Carolin Schmidt

Offline simonevogelgsang

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Re: Solutions Triangular Arbitrage
« Reply #18 on: April 28, 2009, 09:35:32 am »
Triangular Arbitrage
- Class Exercise -


Task 1:

$-Based spot market quotes in London
$1 = 106.82 Yen
$1 = 0.86 Euro

Tokyo Spot Market
Quoted rate:
1€ = 128.05 ¥


Step I: Calculate the implied rate:

106.82 ¥ / 0.86 € = 1
124.21¥  = 1€

-> € is more expensive in Tokyo than in London.
-> Sell expensive, buy cheap!
-> Sell € in Tokyo, buy € in London!


Step II: Triangular Arbitrage:

1. Sell 1,000,000 € in Tokyo at 128.05 ¥/€.
   We receive 128,050,000¥

2. Take the 128,050,000¥ to London and convert them into $:
    128,050,000¥ / 106.82 ¥/$ = 1,198,745.55$

3. Take the 1,198,745.55$ and buy cheap € in London
   1,198,745.55$ * 0.86€/$ = 1,030,921.18€   

-> Arbitrage Profit: 1,030,921.18€ - 1,000,000.00€ = 30,921.18€
 

Task 2:

Look up the exchange rates:
(28/04/2009; 9.18 am)

- $ vs. ¥: 1$ = 96.73584¥
- $ vs. €: 1$ =   0.76054€

Calculate the implied rate:
96.73584¥ / 0.76054€ = 1
127.19363¥ = 1€
 

Best regards,
Simone Vogelgsang

Offline danielfroeschle

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Re: Solutions Triangular Arbitrage
« Reply #19 on: April 28, 2009, 10:13:49 am »
Solution attached

Best regards

Daniel

Offline Stephanie Bueck

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Re: Solutions Triangular Arbitrage
« Reply #20 on: April 28, 2009, 10:44:57 am »
solution for triangular arbitrage is attached
best regards
Stephanie Bueck

Offline daniel_deo

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Re: Solutions Triangular Arbitrage
« Reply #21 on: April 28, 2009, 12:00:26 pm »
The solution for triangular arbitrage is attached

best regards

Daniel Ninnemann

Offline matthiaszembrod

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Re: Solutions Triangular Arbitrage
« Reply #22 on: April 28, 2009, 12:37:04 pm »
Homework: Trinagular Arbitrage



$-Based spot market quotes in London
$1 = 106.82 Yen
$1 = 0.86 Euro

Tokyo Spot Market
Quoted rate:
1€ = 128.03 Yen


1. Calculate the implied rate:

106.82 Yen / 0.86 € = 1
124.21Yen = 1€

- € is more expensive in Tokyo than in London.
- sell expensive, buy cheap!
- sell € in Tokyo, buy € in London!



2. Triangular Arbitrage:

1. Sell 1,000,000 € in Tokyo at 128.03 Yen/€.
you receive 128,030,000Yen

2. Convert the128,030,000Yen  into $in London:
 128,030,000Yen / 106.82 Yen/$ = 1,198,558.32$

3.Convert the 1,198,558.32$ into €
  1,198,558.32$ * 0.86€/$ = 1,030,760.16€

- Arbitrage Profit: 1,030,760.16€ - 1,000,000.00€ = 30,760.16€


3. Exchange rates

$/Yen: 1$ = 96.115 Yen
$/€: 1$ =0.7683€

 implied rate:
96.115Yen / 0.7683€ = 1
125.1009Yen = 1€


Best regards,
Matthias Zembrod

Offline DanielGebauer

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Re: Solutions Triangular Arbitrage
« Reply #23 on: April 28, 2009, 02:36:52 pm »
Please find my solution attached.


Best regards

Daniel Gebauer

Offline Jochen Schäfer

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Re: Solutions Triangular Arbitrage
« Reply #24 on: April 28, 2009, 04:03:31 pm »
Solution attached.

Best regards.
Jochen Schäfer

Offline annika.kasparek

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Re: Solutions Triangular Arbitrage
« Reply #25 on: April 28, 2009, 04:20:45 pm »
Please find solution attached.

Best regards

Annika Kasparek

Offline Hülle

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Re: Solutions Triangular Arbitrage
« Reply #26 on: April 28, 2009, 06:26:17 pm »
Please find the triangular arbitrage attached!

Regard, Matthias
check our blog: www.twoandahalfmen.wordpress.com

--> viele Themen um Börse, Geldanlagen und Co

Offline sabine.pfaff

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Re: Solutions Triangular Arbitrage
« Reply #27 on: April 28, 2009, 07:29:03 pm »
Solutions are attached.

Best regards

Sabine Pfaff

Offline ChristianHattendorff

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Re: Solutions Triangular Arbitrage
« Reply #28 on: April 28, 2009, 07:34:22 pm »
Please find the solution attached.

Best regards
Christian Hattendorff

Offline ChristianFalk

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Re: Solutions Triangular Arbitrage
« Reply #29 on: April 28, 2009, 08:44:25 pm »
Solution attached

Best regards
Christian