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?