Numerical Cases

Aleksander Brzezinski FINC 3377 Triangle Arbitrage: USD $1,000,000 x 0.90145 -> Euro €901,450 x 1.47223 -> CAD C$1,327,141.73 x 0.73725 – > USD $978,435.24 I performed a triangle arbitrage starting in USD, transferred to Euro, then transferred to CAD, and then back to USD. When I started with 1,000,000 dollars and transferred to Euro it became 901,450 euros. Then when I transferred my euro to Canadian Dollar it became 1,327,141.73 CAD. Finally, when I transferred back to USD, I had 978,435.24 dollars. So, I lost money in the arbitrage. USD to Euro I used: Euro to CAD I used: CAD to USD I used: calculator/start.cgi Rectangular Arbitrage (3-month): USD i=2.523%/4 USD $1,000,000 $1,006,307.49 / $683,035.50 S0= 0.90145 F1=0.7585 Euro €901,450 i=-0.41786%/4 €900,508.23 I did a covered interest arbitrage with the USD and the Euro. After performing the arbitrage, I would lose money if I did the arbitrage with the Euro and waited the 3 month. I would lose $323,271.99. I retrieved interest rates from: rates/libor/european-euro/euro.aspx I retrieved forward rate from: