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Joanne · 2023年05月17日

关于三角套汇用bid还是ask

  1. CFA II
  2. Economics Analysis

NO.PZ2023041102000004

问题如下：

If a dealer's bid-side quote for the CAD/BRL is C$0.5250, Tremblay's profit on a US$1,000,000 initial investment in the triangular arbitrage opportunity is closest to:.

选项：

A.US$31,315.00 B.US$31,328.00 C.US$21,135.00

解释：

It is cheaper to buy Canadian dollars indirectly through Brazilian reals than directly with U.S. dollars. This creates a triangular arbitrage opportunity:

US$1,000,000 × 2.3844 = BRL2,384,400

2,384,400 × 0.5250 = C$1,251,810

C$1,251,810/1.2259 = US$1,021,135

US$1,021,135 – US$1,000,000 = US$21,135 profit.

这一题的三角套汇第一个步骤是拿美金，买BRL，为什么这个步骤中的是bid price 2.3844而不是ask price？

bid和ask的使用可以再讲一下吗？

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1 个答案

笛子_品职助教 · 2023年05月17日

嗨，爱思考的PZer你好：


这一题的三角套汇第一个步骤是拿美金，买BRL，为什么这个步骤中的是bid price 2.3844而不是ask price


买BRL要理解为卖出USD，对于BRA/USD，卖出USD，用bid 价。


因为对于base currency，买入用ask价，卖出用bid价。

在本题，BRL/USD的汇率表达式，美元是base currency，因此卖出美元用Bid价。

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