This project is about finding arbitrage opportunities in foreign exchange rates by finding negative weight cycles by implemeting the Bellmann Ford Alogrithm. Exchange rates are read from a csv file.

Would this work in practice? Most likely not as exchange rates are changed constantly to prevent this and I would be too slow filling trades.

Lets use the following currencies and fictional exchange rates.

By doing the following chain of currency changes we can find arbitrage.

GBP -> YEN -> CHF -> GBP

1(GBP) * 1.1 = 1.1(YEN)
1.1(YEN) * 0.05 = 0.06105(CHF)
0.06105(CHF) * 16.43 = 1.0030515(GBP)

Arbitrage of risk free: 0.003.- (GBP)
Now Repeat with 1.003(GBP)

Doing this from hand is tricky and takes long. This program is doing exactly that.

• Time: O(N^3)
• Space: O(N^2)

• Pointers
• Matrices
• Solving a graph problem
• multi file project

Run make to start the program.

$ make

Output of the example data provided.

Arbitrage Opportunity detected: 

GBP -> YEN -> CHF -> GBP
_______________________________


Arbitrage Opportunity detected: 

USD -> CAD -> USD -> GBP -> YEN -> EUR -> CHF
_______________________________


Arbitrage Opportunity detected: 

USD -> CAD -> USD -> CHF
_______________________________

• For Reading the csv file I've used this piece of code by @Tal.

• Make the csv filepath an input parameter for the main programm.