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Unformatted text preview: 3-months forward, and 6 months forward. Problem 6.7 Riskless profit on the franc Assumptions Values Beginning funds in Swiss francs (SF) 10,000,000.00 Mt. Fuji Bank (yen/$) 120.00 Mt. Rushmore Bank (SF/$) 1.6000 Matterhorn Bank (yen/SF) 80.00 Try Number 1: Start with SF to $ Step 1: SF to $ 6,250,000.00 Step 2: $ to yen 750,000,000.00 Step 3: yen to SF 9,375,000.00 Profit? (625,000.00) A loss. Try Number 2: Start with SF to yen Step 1: SF to yen 800,000,000.00 Step 2: yen to $ 6,666,666.67 Step 3: $ to SF 10,666,666.67 Profit? 666,666.67 A profit. Riskless profit on the Swiss franc. The following exchange rates are available to you. (You can buy or sell at the stated rates.)...
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- Spring '11
- United States dollar, ISO 4217, Six-month Forward Rate, Zurich Trading, Mt. Rushmore Bank, Matterhorn Bank