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1.

(1) NTD to GBP:

a.We will buy GBP with NTD at the ask price of 50.66 NTD/GBP.

b.The maximum amount of GBP we can buy is 10,000 / 50.66 = 197.19 GBP.

(2)GBP to CNY:

a.We will sell the GBP we just bought for CNY at the bid price of 9.7195 CNY/GBP.

b.The total amount of CNY we will receive is 197.19 * 9.7195 = 1,915.28 CNY.

(3)CNY to NTD:

a.We will sell the CNY we just bought for NTD at the bid price of 5.125 NTD/CNY.

b.The total amount of NTD we will receive is 1,915.28 * 5.125 = 9,812.79 NTD.

The starting NTD amount was 10,000 NTD, and the final NTD amount is 9,812.79 NTD, so we made a profit of 187.21 NTD.

Therefore, by implementing the triangular arbitrage strategy, the profit made would be 187.21 NTD.

 

2.

USD->Pound->Euro->USD
1/1.4/0.8*1.2=1.0714
此操作有套利空間

3.

(1)

5%-3% = 2%

(30.5-30)/30 = 0.01666…

o.o16*(365/90)*100% = 6.49%

因為兩國間的利差不等於遠期溢價(2%不等於6.49%)

故不成立

(2)

美元:3%+(30.3-30)/30*(365/90) = 9.759%

因為美元利率高於台幣利率(9.759%大於2%),故應選擇美元。

 

第五次作業
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