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FX Triangular Arbitrage Numerical Sample

The document discusses a trader with €100,000 who sees exchange rates for EUR/USD, GBP/USD, and GBP/EUR. There is an opportunity for triangular arbitrage with a profit of €363.

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316 views4 pages

FX Triangular Arbitrage Numerical Sample

The document discusses a trader with €100,000 who sees exchange rates for EUR/USD, GBP/USD, and GBP/EUR. There is an opportunity for triangular arbitrage with a profit of €363.

Uploaded by

tempacc9322
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd

If a Trader has 1,00,000 EURO to begin with and he sees below exchange rates in

Question the market then is there an opportunity to do a Triangular Arbitrage trade? If yes
then what will be his profit in EURO?
EUR/USD 1.0620
GBP/USD 1.2063
GBP/EUR 1.1400

Answer: EUR 100000 (All rates are Live rates taken at 10.30 p.m. on 6th Jan)

Sell EUR/USD 1.0620 106200 EUR converted to USD

Buy GBP/USD 1.2063 88038 USD converted to GBP

Sell GBP/EUR 1.1400 100363 GBP converted back to EUR

Profit = 363 EURO


ow exchange rates in
rbitrage trade? If yes

p.m. on 6th Jan)

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