No.PZ2023041102000005

问题如下：

Anna Goldsworthy is the chief financial officer of a manufacturing firm headquartered in the United Kingdom.Goldsworthy must purchase MXN 27,000,000 to pay an invoice at the end of the quarter. In addition to the quotes from Dealer A, Underwood contacts Dealer B, who provides a bid/offer price of GBP/MXN 0.0366/0.0372.

Using the quotes from Dealer A and B, the triangular arbitrage profit on a transaction of MXN 27,000,000 would be closest to:

选项：

A.GBP 0. B.GBP 5,400 C.GBP 10,800.

解释：

The bid from Dealer A for MXN/GBP is effectively: 17.147 × 1.5762 = 27.0271The offer from Dealer A is: 17.330 × 1.5766 = 27.3225To compare with Dealer B’s quote, she must take the inverse of MXN/GBP, so that she has an offer to sell MXN at a rate of 1/27.0271 = GBP 0.0370 and a bid to purchase MXN at a rate of 1/27.3225 = GBP 0.0366. Dealer A is effectively quoting MXN/GBP at 0.0366/0.0370. Although she can effectively buy pesos more cheaply from Dealer A (GBP 0.0370 from Dealer A, versus GBP 0.0372 from Dealer B), she cannot resell them to Dealer B for a higher price than GBP 0.0366. There is no profit from triangular arbitrage.