An ARBITRAGE strategy in the FOREIGN EXCHANGE market to take advantage of mispricing in currency FORWARDS. The conversion occurs when forwards appear CHEAP, and is created by buying a forward, selling a CALL OPTION , and buying a PUT OPTION (all with the same maturity date ); if the forward is mispriced, the strategy yields an arbitrage profit. See also FORWARD FOREIGN EXCHANGE REVERSAL.
Black’s Law Online Dictionary
