How much is your arbitrage profit in euros at expiration

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Reference no: EM132021101

How much is your arbitrage profit in Euros at expiration, if you know that the current exchange rate is Euro 1.2 / GBP, the 60-day forward rate is Euro 1.15 /GBP, the risk free rate in Europe is 2% and the risk free rate in the UK is 3.6%? Make your calculation so that the spot transaction is for GBP 500,000. Provide your arbitrage profit in Euros rounded to two decimals.

Reference no: EM132021101

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