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berber · 2023年10月18日

请问答案里第一句话是怎么来的

  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.

It is cheaper to buy Canadian dollars indirectly through Brazilian reals than directly with U.S. dollars. This creates a triangular arbitrage opportunity: 请问这个结论是怎么来的？

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1 个答案

笛子_品职助教 · 2023年10月19日

嗨，从没放弃的小努力你好：


请问答案里第一句话是怎么来的

三角套汇。

汇率一：通过两个汇率，计算出第三个汇率。

汇率二：直接看dealer报价的第三个汇率。

对比两个汇率哪个划算。


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

这句话是计算得出的结论。把这句话放在计算过程之后会更好。


-----


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.


Then：It is cheaper to buy Canadian dollars indirectly through Brazilian reals than directly with U.S. dollars. 

----

答案如果这样写，会更好。

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