Chapter06 - =E4*C5 E6: =E5-E2 1.58 1.59 1.60 1.61...

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Exhibit 6.9B Triangular Arbitrage Bank Quote Move $1,000,000 Sensitivity Analysis Barclays $/£ 1.44 $ to £ £692,377 Dresdner $ Gain or Dresdner $/£ 1.6200 £ to $ $1,121,651 Quote Loss Citibank $/€ 0.9 € to $ $1,014,533 1.5800 -$10,517 Cross Rate $ Gain = $14,533 1.5900 -$4,255 Barclays/Citibank $/£ 1.5968 1.6000 $2,008 1.6100 $8,270 1.6200 $14,533 Key Cell Entries E3: =E2/C3 E4: =E3*C4 E5:
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Unformatted text preview: =E4*C5 E6: =E5-E2 1.58 1.59 1.60 1.61 1.62-15000-10000-5000 5000 10000 15000 Dresdner Quote, euros/pound sterling Gain or Loss for $1 million Equilibrium Exhange Rate is at a Dresdner Quote of 1.5968 /. A B C D E F G H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34...
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This note was uploaded on 10/07/2010 for the course ECTCS ec12947322 taught by Professor Johnathayeri during the Spring '10 term at Life.

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