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ruby5ltc · 2023年01月01日

请问

  1. CFA II
  2. Economics Analysis

* 问题详情，请 查看题干

NO.PZ202208160100000201

问题如下：

Based on the data in Exhibit 1, if a dealer quoted a bid–offer rate of CHF1.0741/EUR1.0746, then a profitable triangular arbitrage would most likely involve buying EUR1 from the dealer and then selling it in the interbank market for a profit of:

选项：

A.CHF0.0005. B.CHF0.0008. C.CHF0.0007.

解释：

Solution

A is correct. Calculate the CHF/EUR bid–offer cross rate implied by the interbank market using the equation CHF/EUR = (USD/CHF)–1 × USD/EUR = CHF/USD × USD/EUR. The equation shows that we have to invert the USD/CHF bid–offer quotes to get the CHF/USD bid–offer quotes.

First, given the USD/CHF quotes of 1.0453/1.0456, take the inverse of each and interchange the bid and offer, such that the CHF/USD quotes are (1/1.0456)/(11.0453) = 0.95639/0.95666 = 0.9564/0.9567.

Then multiply the CHF/USD and USD/EUR bid–offer quotes:

Bid: 0.9564 × 1.1241 = 1.07509 = 1.0751

Offer: 0.9567 × 1.1243 = 1.07562 = 1.0756

Thus, the CHF/EUR cross-rate implied by the interbank market is 1.0751/1.0756.

The dealer is posting an offer rate to sell the EUR at a rate below the interbank bid rate. Thus, triangular arbitrage would involve buying EUR from the dealer at 1.0746 (offer) and selling it in the interbank market at 1.0751 (bid) for a profit of CHF0.0005 (1.0751 – 1.0746) per EUR.


B is incorrect. It erroneously inverts the USD/CHF quotes but does not interchange the bid and offer and thus incorrectly calculates the interbank market cross rate.

Bid: 0.9567 × 1.1241 = 1.07543 = 1.0754

Offer: 0.9564 × 1.1243 = 1.07528 = 1.0753

Thus, the CHF/EUR cross-rate implied by the interbank market is 1.0754/1.0753. (Note that the bid is higher than the offer.)

Triangular arbitrage would involve buying EUR from the dealer at 1.0746 (offer) and selling it in the interbank market at 1.0754 (bid) for a profit of CHF0.0008 (1.0754 – 1.0746) per EUR.

C is incorrect. It erroneously inverts the USD/CHF quotes but incorrectly calculates the interbank market cross-rate by mixing up the cross bids and offers.

Bid: 0.9564 × 1.1243 = 1.07528 = 1.0753

Offer: 0.9567 × 1.1241 = 1.07543 = 1.0754

Thus, the CHF/EUR cross-rate implied by the interbank market is 1.0753/1.0754.

Triangular arbitrage would involve buying EUR from the dealer at 1.0746 (offer) and selling it in the interbank market at 1.0753 (bid) for a profit of CHF0.0007 (1.0753 – 1.0746) per EUR.

三角套汇是不是只能先买interbank的便宜货币？这道题，interbank的CHF便宜，所以就先从interbank买CHF，再到dealer卖CHF.

为什么却是先去dealer买他的便宜货币？

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1 个答案

笛子_品职助教 · 2023年01月02日

嗨，从没放弃的小努力你好：


三角套汇是不是只能先买interbank的便宜货币？

如果是买的话，三角套汇是比较两个汇率的ask价，挑ask价低的汇率买。


这道题，interbank的CHF便宜，所以就先从interbank买CHF，再到dealer卖CHF.


这道题是基于CHF/EUR 汇率的，基础货币是EUR，我们应该看EUR哪个便宜，哪个贵，而不是CHF。

dealer报价是： a dealer quoted a bid–offer rate of CHF1.0741/EUR1.0746

interbank报价：the CHF/EUR cross-rate implied by the interbank market is 1.0751/1.0756.

买入的话，从ask价来看，dealer报价是1.0746，interbank报价是1.0756。

所以对于 CHF/EUR报价，是dealer更便宜，因为dealer的ask报价更低。

注意，这是基于CHF/EUR报价，base currency是EUR。


为什么却是先去dealer买他的便宜货币？

因为dealer报价更便宜。interbank报价更贵。

如果同学要买卖CHF的话，需要转换一下汇率，但是这道题里的场景是以EUR作为base currency，买卖EUR计算赚了多少CHF。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ202208160100000201问题如下Baseon the ta in Exhibit 1, if a aler quotea bioffer rate of CHF1.0741/EUR1.0746, then a profitable triangularbitrage woulmost likely involve buying EUR1 from the aler anthen selling it in the interbank market for a profit of:A.CHF0.0005.B.CHF0.0008.C.CHF0.0007. SolutionA is correct. Calculate the CHF/EUR bioffer cross rate impliethe interbank market using the equation CHF/EUR = (USCHF)–1 × USEUR = CHF/US× USEUR. The equation shows thwe have to invert the USCHF bioffer quotes to get the CHF/USbioffer quotes.First, given the USCHF quotes of 1.0453/1.0456, take the inverse of eaaninterchange the bianoffer, suththe CHF/USquotes are (1/1.0456)/(11.0453) = 0.95639/0.95666 = 0.9564/0.9567. Then multiply the CHF/USanUSEUR bioffer quotes:Bi 0.9564 × 1.1241 = 1.07509 = 1.0751Offer: 0.9567 × 1.1243 = 1.07562 = 1.0756Thus, the CHF/EUR cross-rate impliethe interbank market is 1.0751/1.0756.The aler is posting offer rate to sell the EUR a rate below the interbank birate. Thus, triangularbitrage woulinvolve buying EUR from the aler 1.0746 (offer) anselling it in the interbank market 1.0751 (bi for a profit of CHF0.0005 (1.0751 – 1.0746) per EUR.B is incorrect. It erroneously inverts the USCHF quotes but es not interchange the bianoffer anthus incorrectly calculates the interbank market cross rate.Bi 0.9567 × 1.1241 = 1.07543 = 1.0754Offer: 0.9564 × 1.1243 = 1.07528 = 1.0753Thus, the CHF/EUR cross-rate impliethe interbank market is 1.0754/1.0753. (Note ththe biis higher ththe offer.)Triangularbitrage woulinvolve buying EUR from the aler 1.0746 (offer) anselling it in the interbank market 1.0754 (bi for a profit of CHF0.0008 (1.0754 – 1.0746) per EUR.C is incorrect. It erroneously inverts the USCHF quotes but incorrectly calculates the interbank market cross-rate mixing up the cross bi anoffers.Bi 0.9564 × 1.1243 = 1.07528 = 1.0753Offer: 0.9567 × 1.1241 = 1.07543 = 1.0754Thus, the CHF/EUR cross-rate impliethe interbank market is 1.0753/1.0754.Triangularbitrage woulinvolve buying EUR from the aler 1.0746 (offer) anselling it in the interbank market 1.0753 (bi for a profit of CHF0.0007 (1.0753 – 1.0746) per EUR. 中文解析A是正确的。使用公式CHF/EUR = (USCHF) -1 × USEUR = CHF/US× USEUR计算银行间市场隐含的CHF/EUR买卖交叉利率。公式表明，我们必须反转美元/瑞士法郎的买卖报价才能得到瑞士法郎/美元的买卖报价。首先，假设美元/瑞郎的报价为1.0453/1.0456，取两者的逆并交换买入价和卖出价，这样瑞郎/美元的报价为(1/1.0456)/(11.0453)= 0.95639/0.95666 = 0.9564/0.9567。然后乘以瑞士法郎/美元和美元/欧元的买卖报价:竞价:0.9564 × 1.1241 = 1.07509 = 1.0751卖出价:0.9567 × 1.1243 = 1.07562 = 1.0756因此，银行间市场隐含的瑞郎/欧元交叉利率为1.0751/1.0756。交易商以低于银行间买入价的价格卖出欧元。因此，三角套利将涉及以1.0746(卖出价)向交易商买入欧元，并以1.0751(买入价)在银行间市场卖出欧元，每欧元获利0.0005瑞郎(1.0751 - 1.0746)。B不正确。它错误地反转了美元/瑞士法郎的报价，但没有交换买入价和卖出价，因此错误地计算了银行间市场交叉利率。竞价:0.9567 × 1.1241 = 1.07543 = 1.0754卖出价:0.9564 × 1.1243 = 1.07528 = 1.0753因此，银行间市场隐含的瑞郎/欧元交叉利率为1.0754/1.0753。(请注意，出价高于出价。)三角套利包括以1.0746(卖出价)向交易商买入欧元，并以1.0754(买入价)在银行间市场卖出，每欧元获利0.0008瑞郎(1.0754 - 1.0746)。C是不正确的。它错误地颠倒了美元/瑞士法郎的报价，但由于混淆了交叉买入价和卖出价而错误地计算了银行间市场的交叉利率。竞价:0.9564 × 1.1243 = 1.07528 = 1.0753卖出价:0.9567 × 1.1241 = 1.07543 = 1.0754因此，银行间市场隐含的瑞郎/欧元交叉利率为1.0753/1.0754。三角套利包括以1.0746(卖出价)向交易商买入欧元，并以1.0753(买入价)在银行间市场卖出，每欧元获利0.0007瑞郎(1.0753 - 1.0746)。 老师请看看我这么做有什么问题aler 报价CHF/EUR 1.0741-1.0746银行间报价USEUR 1.1241-1.1243 USCHF 1.0453-1.0456推导出银行间CHF/EUR 1.0751-1.0756,所以从aler处买欧元如果现在有1元CHF，可以在aler处买1/1.0746EUR，现在手上有了欧元，可以在银行间市场卖欧元买美元，于是就是1/1.0746*1.1241，然后再在银行间市场卖美元买CHF，就是1/1.0746*1.1241/1.0456=1.000443，减1后最接近a

2024-06-23 05:16 1 · 回答

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