If bank X is quoting “A $1.5838/ bid and A $1.1682/€ ask” and bank Y is quoting “A $1.1684/€ bid and A $1.1690/€ ask”. If you buy € 2million from X at it’s A $1.1682/€ ask price and simultaneously sell € 2million to Y at it’s A $ 1.1684/€ bid price. Calculate arbitrage profit.
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- . GT Bank Ghana Limited quotes JPY/EUR 155-165, and GCB Bank quotes EUR/JPY0.0059-0.0063a. Are these quotes identical? b. If not, is there an opportunity for arbitrage? c. If there is an opportunity for arbitrage, how would one profit from it? 3. Given the bid-ask quotes for jpy/gbp 220-240, at what rate will:(a) Mr. Agbo purchase gbp? (b) Mr. Agbo sell gbp? (c) Mr. Debrah purchase jpy?(d) Mr. Kwaku sell jpy?b) RBC quotes 1.28$/€ bid and 1.31$/€ ask. TD quotes 1.29$/€ bid and 1.32$/€ ask. HSBC quotes 1.34$/€ bid and 1.36$/€ ask. If you start by buying €1, the largest profit you can make is: E. ¢2 A. ¢6 F. ¢1 B. ¢5 G. ¢0 C. ¢4 D. ¢3 H. None of the above1. Assume that you want to secure a purchase at strike price and you have the following information on hand: Strike = $ 50 Put = $ 6 Call = $ 7 Probable market values at maturity: 30, 40, 50, 60, 70 a) Show the net results that you would obtain under each market value when performing a purchase synthetic forward. b) Show the net flows you would obtain under each market value when performing purchase synthetic forward.
- Answer the next 4 questions using the information in the following table. You are considering the purchase of a $1,000 par value Treasury Bill and observe the following quotes for T-Bills in the market: Ignore transaction costs. Time to Maturity (days) Bid Asked % % 60 1.64 1.55 88 1.63 1.54 116 1.62 1.53 144 1.61 1.52 4. The bid price of a T-bill in the secondary market is A. the price at which the dealer in T-bills is willing to sell the bill. B. the price at which the investor in T-bills is willing to sell the bill. C. larger than the ask price of the T-bill. D. The price at which the investor can buy the T-bill. 5. What is the purchase price of the 144-day bill that you face? А. $993.29 B. $993.56 С. $993.92 D. $994.05Assume the bid rate of an Yen dollar is $ 1.8 while the ask rate is $ 3.5 at Arab Bank.Assume the bid rate of an Yen dollar is $3.4 while the ask rate is $5.7 at Palestine Bank. Given this information, what would be your gain if you use $8876.7 and execute locational arbitrage? =8876.713.5^ * 3.4b =8876.7/5.7^ * 3.5c =8876.7/3.4^ * 1.8d = 8876.7 /3.5^ * 5.7Given the following bid and ask prices quoted by a dealer: Bid price of $1.1250/€ and Ask price of $1.1255/€, which of the following statements best describes the Bid-Ask Spread as a percentage? The dealer expects to make a profit of $0.005/€ on each transaction. The Bid-Ask Spread is 0.0044% of the bid price. The Bid-Ask Spread is 0.005% of the transaction value. The Bid-Ask Spread represents the dealer's margin on top of the selling price.
- Consider the following quoted spot rates and identify which statement(s) below is(are) true: Spot Bid Rate Spot Ask Rate AUD1.5455/USD AUD1.5656/USD USD1.2599/GBP USD1.2685/GBP AUD1.9547/GBP AUD1.9638/GBP O a. A riskless arbitrage can be made only by going "clockwise" around the triangle. O b. None of the options in this question is true. O c. A riskless arbitrage can be made only by going "anti-clockwise" around the triangle.Here is some price information on Fincorp stock. Suppose that Fincorp trades in a dealer market. Bid Ask 36.33 36.68 Required: Suppose you have submitted an order to your broker to buy at market. At what price will your trade be executed? Suppose you have submitted an order to sell at market. At what price will your trade be executed? Suppose you have submitted a limit order to sell at $36.76.What will happen? Suppose you have submitted a limit order to buy at $36.61. What will happen?a) Assume that call currency option enable to buy of dollar for Shs. 50.00 while it is quotedat Shs. 50.70 in the spot market, and premium paid for call currency option is Shs. 1.00.a)Calculate the intrinsic value of the call? b) Discuss the value of hedging to a firm.
- You are a prop trader from PNB. Your counterparty banks quotes the ff: BPI at USD/PHP 50.20 – 50.25 while UBP is quoting 50.27 – 50.32. You can do an “arb” by: Buy the USD from BPI at 50.25 and sell the USD to UBP at 50.27 Buy the USD from BPI at 50.20 and sell the USD to UBP at 50.27 Buy the USD from BPI at 50.25 and sell the USD to UBP at 50.32 UBP is transacting with MBTC as the quoting party. UBP is trying to sell 50MM pesos worth of FXTN 20-21. At what rate can MBTC buy the said GS given quote of: 6.050% - 5.985%? MBTC buys at 6.050 UBP sells at 5.985 MBTC buys at 5.985 Either B or C A t the end of the day, Ralph, a dollar liquidity manager, has excess funds of $10MM. Ralph can lend to the following counterparties with their respective bid-offer quotations applicable for O/N or 1 week: BDO: 0.07% - 0.11% BPI: 0.09% - 0.10% UCPB: 0.06% - 0.12%. To which counterparty and at what rate will Ralph lend assuming there is no lending limit? Lend to UCPB at 0.06% Lend to…Here is some price information on FinCorp stock. Suppose that FinCorp trades in a dealer market.Bid =55.25 Ask= 55.50a. Suppose you have submitted an order to your broker to buy at market. At what price will your trade be executed?b. Suppose you have submitted an order to sell at market. At what price will your trade be executed?c. Suppose you have submitted a limit order to sell at $55.62. What will happen?d. Suppose you have submitted a limit order to buy at $55.37. What will happen?a) An investor is given the following information: Payoff State 1 State 2 Security Market prices (s=1) (s=2) X £15 £20 PJ = £19 Y £25 £10 PK = £25 Explaining the method(s) and the underlining concept(s), how could the investor use Arrow- Debreu pure securities to replicate the payoff of security X and security Y? What are the prices of pure security 1 and pure security 2?