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🍀SZJ🍀 · 2022年07月24日

ZAR/SEK不是0.9149/1.0218吗?

NO.PZ2016010802000208

问题如下:

A dealer provides the following quotes:

Another dealer is quoting the ZAR/SEK cross-rate at 1.1210. The arbitrage profit that can be earned is closest to:

选项:

A.

ZAR 3671 per million SEK traded.

B.

SEK 4200 per million ZAR traded.

C.

ZAR 4200 per million SEK traded.

解释:

C is correct.

The ZAR/SEK cross-rate from the original dealer is (1.0218/0.9149) = 1.1168, which is lower than the quote from the second dealer. To earn an arbitrage profit, a currency trader would buy SEK (sell ZAR) from the original dealer and sell SEK (buy ZAR) to the second dealer. On 1 million SEK the profit would be

SEK 1,000,000 × (1.1210 1.1168) = ZAR 4200

考点: cross-rate

解析:原交易对商ZAR/SEK交叉率为(1.0218/0.9149)= 1.1168,低于第二个交易商的报价。为了赚取套利利润,投资者应当从原始交易商那里购买SEK (sell ZAR),然后将SEK 卖给第二交易商(buy ZAR)。100万SEK的利润是

SEK 1,000,000 × (1.1210 1.1168) = ZAR 4200

ZAR/SEK不是0.9149/1.0218吗?

1 个答案

笛子_品职助教 · 2022年08月02日

嗨,爱思考的PZer你好:


ZAR/SEK不是0.9149/1.0218吗?

不是的,ZAR/SEK是1.0218/0.9149

这道题是三角套汇的问题。


我们需要从两个汇率:CNY/ZAR = 0.9149,CNY/SEK = 1.0218,来计算出ZAR/SEK

推导过程如下:以下公式中的/ 表示除号。

(CNY/SEK)/ (CNY/ZAR) = (CNY/SEK ) x (ZAR/CNY) = CNY/SEK x ZAR/CNY = ZAR/SEK


所以我们要用1.0218/0.9149

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