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For more info:

http://www.mycertnotes.com/az/valyuta-alqi-satqisindan-qazanc-elde-etmek-bellman-ford-alqoritmi/

This task is given in a book “Introduction to Algorithms” (MIT Press), 3rd edition, page 679:

24-3 Arbitrage

Arbitrage is the use of discrepancies in currency exchange rates to transform one unit of a currency into more than one unit of the same currency. For example, suppose that 1 U.S. dollar buys 49 Indian rupees, 1 Indian rupee buys 2 Japanese yen, and 1 Japanese yen buys 0.0107 U.S. dollars. Then, by converting currencies, a trader can start with 1 U.S. dollar and buy 49 x 2 x 0.0107 = 1.0486 U.S. dollars, thus turning a profit of 4.86 percent.

Suppose that we are given n currencies c1, c2, ..., cn and an n x n table R of exchange rates, such that one unit of currency ci buys R[i, j] units of currency cj.

a. Give an efficient algorithm to determine whether or not there exists a sequence of currencies {ci1, ci2, ..., cik} such that R[i1, i2] * R[i2, i3] ... R[ik-1, ik] * R[ik, i1] > 1. Analyze the running time of your algorithm.

b. Give an efficient algorithm to print out such a sequence if one exists. Analyze the running time of your algorithm.

Currency Rates of all Banks

currency-rates-of-banks

Optimal Currency Rates:

optimal-rates

Currency Graph:

  • Source: “Algorithms (4th Edition)”, Robert Sedgewick & Kevin Wayne, page 679 arbitrage-graph

Bellman-Ford Algorithm

  • The implementation of "Introduction to Algorithms" book:

Bellman-Ford-Algorithm

Arbitrage Opportunity:

Arbitrage 1: (profit - 32.99 AZN)

  • 1000.0000 AZN = 507.6142 EUR (Bank Melli İran)
  • 507.6142 EUR = 1032.9949 AZN (AmrahBank)

Arbitrage 2: (profit - 3.16 AZN)

  • 1000.0000 AZN = 451.2635 GBP (AccessBank)
  • 451.2635 GBP = 1003.1588 AZN (Gunay Bank)

Arbitrage 3: (profit - 28.07 AZN)

  • 1000.0000 AZN = 35087.7193 RUB (AccessBank)
  • 35087.7193 RUB = 1028.0702 AZN (Azərpoçt)

Arbitrage 4: (profit - 30.57 AZN)

  • 1000.0000 AZN = 507.6142 EUR (Bank Melli İran)
  • 507.6142 EUR = 607.2868 USD (AmrahBank)
  • 607.2868 USD = 1030.5658 AZN (AmrahBank)

Arbitrage 5: (profit - 0.21 AZN)

  • 1000.0000 AZN = 451.2635 GBP (AccessBank)
  • 451.2635 GBP = 589.4000 USD (Gunay Bank)
  • 589.4000 USD = 1000.2118 AZN (AmrahBank)

Arbitrage 6: (profit - 25.65 AZN)

  • 1000.0000 AZN = 35087.7193 RUB (AccessBank)
  • 35087.7193 RUB = 604.3916 USD (DəmirBank)
  • 604.3916 USD = 1025.6526 AZN (AmrahBank)

....................................

Arbitrage 56: (profit - 3.87 AZN)

  • 1000.0000 AZN = 507.6142 EUR (Bank Melli İran)
  • 507.6142 EUR = 2028.4325 TRY (PAŞA Bank)
  • 2028.4325 TRY = 442.6328 GBP (PAŞA Bank)
  • 442.6328 GBP = 578.1273 USD (Gunay Bank)
  • 578.1273 USD = 34261.6497 RUB (AccessBank)
  • 34261.6497 RUB = 1003.8663 AZN (Azərpoçt)

Arbitrage 57: (profit - 5.46 AZN)

  • 1000.0000 AZN = 35087.7193 RUB (AccessBank)
  • 35087.7193 RUB = 461.0180 GBP (DəmirBank)
  • 461.0180 GBP = 602.1405 USD (Gunay Bank)
  • 602.1405 USD = 513.5005 EUR (Bank Melli İran)
  • 513.5005 EUR = 2051.9541 TRY (PAŞA Bank)
  • 2051.9541 TRY = 1005.4575 AZN (PAŞA Bank)

Arbitrage 58: (profit - 13.69 AZN)

  • 1000.0000 AZN = 507.6142 EUR (Bank Melli İran)
  • 507.6142 EUR = 607.2868 USD (AmrahBank)
  • 607.2868 USD = 35989.7362 RUB (AccessBank)
  • 35989.7362 RUB = 472.8696 GBP (DəmirBank)
  • 472.8696 GBP = 2068.7457 TRY (PAŞA Bank)
  • 2068.7457 TRY = 1013.6854 AZN (PAŞA Bank)