NO.PZ2018091706000002
问题如下:
Matthew is currency analyst, he wants to find a potential arbitrage profit from three countries, USD, GBP, MXN, based on dealer’s bid/ask rate quote MXN/GBP 27.8995/28.0255 , he also gather the following information from interbank market
Matthew should execute the trade or not?
选项:
A.should not execute the trade, because no arbitrage profit.
B.Matthew should buy GBP in the interbank market and sell it to the dealer.
C.Matthew should buy GBP in the dealer market and sell it to the interbank market.
解释:
B is correct.
考点:三角套汇的经典考法,考的是其中的第一步和第二步。
解析:第一步先判断有没有套利机会,也就是比较dealer 和 interbank相同币种的报价。这道题对比的是GBP那么在dealer市场报价MXN/GBP是 27.8995/28.0255 。然后在interbank市场计算MXN/GBP的报价,从表格可以看出我们需要把2个报价转换成MXN/GBP,那么根据口诀,相乘同边,相除对角,乘小除大,我们得到interbank市场的MXN/GBP的报价: 27.2377/27.6464 。由于两边市场的报价不一样(interbank市场报价明显),所以是有套利机会的。第二步就是具体操作了,我们从上述的步骤可以对比出interbank市场的报价要更加便宜,那我们就现在interbank市场买GBP,然后去dealer 市场上卖GBP,这样低买高卖就可以获得套利利润。