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lcrcp3 · 2023年10月15日

如题

  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).

银行：x1~x2 DRN/EUR

做市商：y1~y2 DRN/EUR

有的题利润是0，这种题能套利（有利润）的唯一条件就是y1要大于x2，是不是这样？

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笛子_品职助教 · 2023年10月17日

嗨，从没放弃的小努力你好：


有的题利润是0，这种题能套利（有利润）的唯一条件就是y1要大于x2，是不是这样？

一个报价的bid价格（投资者的卖出价格），大于另一个报价的ask价（投资者的买入价格），就可以套利。

因此，除了同学所说的y1大于X2，

X1如果大于Y2，也可以套利。

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NO.PZ2018091706000063 问题如下 Baseonthe exchange rate quotes in Exhibit 2, opportunistic Europehee funnterestein triangularbitrage between the aler aninterbank markets ismost likely to: Exhibit 2Interbank analerCurrenQuotes anRates A.buy EUR in the interbank market ansell EUR to theltonialer B.buy EUR from the ltonianaler ansell EUR in the interbank market C.scover thno triangulararbitrage opportunity exists Calculate the interbank impliecross rate for (N/EUR).Invert the (EUR/US quotes. The 0.8045 bibecomes 1/0.8045 = 1.243 offer for (USEUR). The 0.8065 offer becomes 1/0.8065 = 1.240 bifor (USEUR). termine the interbank impliecross currenquotes for (N/EUR) follows:Bi 1.205(N/US * 1.24 (USEUR) = 1.4942 (N/EUR)Offer: 1.210 (N/US*1.243 (USEUR) = 1.504 (R/EUR).解析:计算银行间隐含交叉利率(N/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(N/EUR): 买价: 1.205(N/US × 1.24 (USEUR) = 1.4942 (N/EUR);卖价: 1.210 (N/US×1.243 (USEUR) = 1.504 (R/EUR). 实际考试的汇率表达方式是一样的斜杠吗？还是用的冒号呢？另外这个题，直接相除不就行了，不用inverse了吧

2024-04-21 19:39 2 · 回答

NO.PZ2018091706000063问题如下 Baseonthe exchange rate quotes in Exhibit 2, opportunistic Europehee funnterestein triangularbitrage between the aler aninterbank markets ismost likely to: Exhibit 2Interbank analerCurrenQuotes anRatesA.buy EUR in the interbank market ansell EUR to theltonialer B.buy EUR from the ltonianaler ansell EUR in the interbank market C.scover thno triangulararbitrage opportunity exists Calculate the interbank impliecross rate for (N/EUR).Invert the (EUR/US quotes. The 0.8045 bibecomes 1/0.8045 = 1.243 offer for (USEUR). The 0.8065 offer becomes 1/0.8065 = 1.240 bifor (USEUR). termine the interbank impliecross currenquotes for (N/EUR) follows:Bi 1.205(N/US * 1.24 (USEUR) = 1.4942 (N/EUR)Offer: 1.210 (N/US*1.243 (USEUR) = 1.504 (R/EUR).解析:计算银行间隐含交叉利率(N/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(N/EUR): 买价: 1.205(N/US × 1.24 (USEUR) = 1.4942 (N/EUR);卖价: 1.210 (N/US×1.243 (USEUR) = 1.504 (R/EUR). 怎么判断有没有三角套利的机会？

2024-04-11 11:15 1 · 回答

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2023-03-11 08:44 1 · 回答

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2022-11-15 16:13 2 · 回答