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小火儿 · 2022年11月15日

是以1.4942在interbank买EUR，再以1.5190在dealer卖EUR吗？

  1. CFA II
  2. Economics Analysis

NO.PZ2018091706000063

问题如下：

Based on the exchange rate quotes in Exhibit 2, an opportunistic European hedge fund interested in triangular arbitrage between the dealer and interbank markets is most likely to:

Exhibit 2Interbank and Dealer Currency Quotes and Rates

选项：

A.

buy EUR in the interbank market and sell EUR to the Daltonian dealer

B.

buy EUR from the Daltonian dealer and sell EUR in the interbank market

C.

discover that no triangular arbitrage opportunity exists

解释：

Calculate the interbank implied cross rate for (DRN/EUR).

Invert the (EUR/USD) quotes. The 0.8045 bid becomes 1/0.8045 = 1.243 offer for (USD/EUR). The 0.8065 offer becomes 1/0.8065 = 1.240 bid for (USD/EUR).

Determine the interbank implied cross currency quotes for (DRN/EUR) as follows:

Bid: 1.205(DRN/USD) * 1.24 (USD/EUR) = 1.4942 (DRN/EUR)

Offer: 1.210 (DRN/USD)*1.243 (USD/EUR) = 1.504 (DNR/EUR).

解析:

计算银行间隐含交叉利率(DRN/EUR)过程如下：

先计算反向报价(欧元/美元)。0.8045 买价变成卖价1/0.8045 = 1.243(美元/欧元)。0.8065的卖价变成买价1/0.8065 = 1240美元/欧元。

确定下列银行间隐含的货币交叉报价(DRN/EUR):

买价: 1.205(DRN/USD) × 1.24 (USD/EUR) = 1.4942 (DRN/EUR);

卖价: 1.210 (DRN/USD)×1.243 (USD/EUR) = 1.504 (DNR/EUR).

是以1.4942在interbank买EUR，再以1.5190在dealer卖EUR吗？

买卖的价格有点分不清了。

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2 个答案

笛子_品职助教 · 2023年02月22日

嗨，努力学习的PZer你好：


计算cross rate的时候，为什么是bid/ask~ask/bid呢


Hello，亲爱的同学！


同学问的是这句话吧：0.8045 买价变成卖价1/0.8045 = 1.243(美元/欧元)。0.8065的卖价变成买价1/0.8065 = 1240美元/欧元。


这个很好解释，可以数学推导：

1）bid价一定小于ask价。

2）因为数字越小，倒数越大，所以，原汇率的Bid取倒数，就是1/原bid = 1/0.8045。原汇率的ask取倒数就是1/1.243

3）因为新的汇率，bid价也一定小于ask价，所以我们取小的数值，也就是1/1.243为bid价。





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虽然现在很辛苦，但努力过的感觉真的很好，加油！

笛子_品职助教 · 2022年11月15日

嗨，努力学习的PZer你好：


是以1.4942在interbank买EUR，再以1.5190在dealer卖EUR吗？


Hello，亲爱的同学！

有一个知识点需要同学掌握的哈：

投资者买入价是ask报价，投资者卖出价是bid报价。


我们运用以上知识点到本题：

interbank市场的报价是：

确定下列银行间隐含的货币交叉报价(DRN/EUR):

买价: 1.205(DRN/USD) × 1.24 (USD/EUR) = 1.4942 (DRN/EUR);

卖价: 1.210 (DRN/USD)×1.243 (USD/EUR) = 1.504 (DNR/EUR).


因此，在interbank市场，投资者要买的话，是以ask价，也就是 1.504买入的。并不是1.4942。



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加油吧，让我们一起遇见更好的自己！

Ash · 2023年02月22日

计算cross rate的时候，为什么是bid/ask~ask/bid呢

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