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    3er. SET DE EJERCICIOS

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    Cesar Camey

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    3er. SET DE EJERCICIOS

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    3er. SET DE EJERCICIOS

    Uploaded by

    Cesar Camey

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    © All Rights Reserved
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    EJEMPLOS DE EJERCICIOS

    ARBITRAJE DE LOCALIZACIÓN:

    Assume the bid rate of a New Zealand dollar is $0.33 while the ask rate is $0.335
    at Bank X. Assume the bid rate of the New Zealand dollar is $0.32 while the ask
    rate is $0.325 at Bank Y. Given this information, what would be your gain if you use
    $1,000,000 and execute locational arbitrage? That is, how much will you end up
    with over and above the $1,000,000 you started with?
    A) $15,385.
    B) $15,625.
    C) $22,136.
    D) $31,250.

    ANSWER: A

    SOLUTION: $1,000,000/$0.325 = NZ$3,076,923 × $0.33 = $1,015,385. Thus, the


    profit is $15,385.

    Assume the bid rate of a Singapore dollar is $0.40 while the ask rate is $0.41 at
    Bank X. Assume the bid rate of a Singapore dollar is $0.42 while the ask rate is
    $0.425 at Bank Z. Given this information, what would be your gain if you use
    $1,000,000 and execute locational arbitrage? That is, how much will you end up
    with over and above the $1,000,000 you started with?
    A) $11,764.
    B) –$11,964.
    C) $36,585.
    D) $24,390.
    E) $18,219.

    ANSWER: D

    SOLUTION: $1,000,000/$0.41 = S2,439,024 × $0.42 = $1,024,390

    ARBITRAJE TRIANGULAR:

    National Bank quotes the following for the British pound and the New Zealand
    dollar:

    Quoted Bid Price Quoted Ask Price


    Value of a British pound (£) in $ $1.61 $1.62
    Value of a New Zealand dollar (NZ$) in $ $0.55 $0.56
    Value of a British pound in
    New Zealand dollars NZ$2.95 NZ$2.96

    1
    Assume you have $10,000 to conduct triangular arbitrage. What is your profit from
    implementing this strategy?
    A) $77.64.
    B) $197.53.
    C) $15.43.
    D) $111.80.

    ANSWER: C

    SOLUTION: $10,000/$1.62 = £6,172.84 × 2.95 = NZ$18,209.88 × $.55 =


    $10,015.43. Thus, the profit is $15.43.

    ARBITRAJE DE INTERES CUBIERTO:

    Assume the following information:

    You have $1,000,000 to invest


    Current spot rate of pound = $1.30
    90-day forward rate of pound = $1.28
    3-month deposit rate in U.S. = 3%
    3-month deposit rate in Great Britain = 4%

    If you use covered interest arbitrage for a 90-day investment, what will be the
    amount of U.S. dollars you will have after 90 days?
    A) $1,024,000.
    B) $1,030,000.
    C) $1,040,000.
    D) $1,034,000.
    E) none of these.

    ANSWER: A

    SOLUTION: $1,000,000/$1.30 = 769,231 pounds × (1.04) = 800,000 pounds ×


    1.28 = $1,024,000

    Assume the following information:


    Current spot rate of New Zealand dollar = $0.41
    Forecasted spot rate of New Zealand dollar 1 year from now = $0.43
    One-year forward rate of the New Zealand dollar = $0.42
    Annual interest rate on New Zealand dollars = 8%
    Annual interest rate on U.S. dollars = 9%

    Given the information in this question, the return from covered interest arbitrage by
    U.S. investors with $500,000 to invest is about _______%.
    A) 11.97
    B) 9.63
    C) 11.12

    2
    D) 11.64
    E) 10.63

    ANSWER: E

    SOLUTION: $500,000/$0.41 = NZ$1,219,512 × (1.08) = NZ$1,317,073 × $0.42 =


    $553,171. Yield = ($553,171 – $500,000)/$500,000 = 10.63%.

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