开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

AJI · 2023年11月08日

利差问题

  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.

此题中为何不用考虑美国和巴西的利差吗？（Rf+Inflation Rate）

添加评论
1 个答案
已采纳答案

笛子_品职助教 · 2023年11月10日

嗨，爱思考的PZer你好：


Hello，亲爱的同学~

运用到利率的题目，一般会涉及利率评价的内容。

运用到通胀的题目，一般会涉及到购买力平价的内容。

但是本题，属于三角套汇的题目，并不涉及到利率平价与购买力平价。

三角套汇这部分内容，只涉及到汇率，并没有涉及到利率的呦~

因此不用考虑美国和巴西的利率的。


----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 312

    浏览
相关问题

NO.PZ2023041102000004 问题如下 If a aler's bisi quote for the CABRL is C$0.5250, Tremblay's profit on a US$1,000,000 initiinvestment in the triangularbitrage opportunity is closest to:. A.US$31,315.00 B.US$31,328.00 C.US$21,135.00 It is cheaper to buy Canallars inrectly through Brazilireals threctly with U.S. llars. This creates a triangularbitrage opportunity: US$1,000,000 × 2.3844 = BRL2,384,4002,384,400 × 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. 老师，这道题给了CABRL，但手里拿着的是1000000US请问这种情况怎么判断三角套利先换CAUSCABRL-US还是BRL（USBRL-CAUS？

2024-02-24 10:16 1 · 回答

NO.PZ2023041102000004问题如下 If a aler's bisi quote for the CABRL is C$0.5250, Tremblay's profit on a US$1,000,000 initiinvestment in the triangularbitrage opportunity is closest to:. A.US$31,315.00B.US$31,328.00C.US$21,135.00 It is cheaper to buy Canallars inrectly through Brazilireals threctly with U.S. llars. This creates a triangularbitrage opportunity: US$1,000,000 × 2.3844 = BRL2,384,4002,384,400 × 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. 先转换成哪个币种怎么判断？

2023-11-05 10:09 1 · 回答

NO.PZ2023041102000004问题如下 If a aler's bisi quote for the CABRL is C$0.5250, Tremblay's profit on a US$1,000,000 initiinvestment in the triangularbitrage opportunity is closest to:. A.US$31,315.00B.US$31,328.00C.US$21,135.00 It is cheaper to buy Canallars inrectly through Brazilireals threctly with U.S. llars. This creates a triangularbitrage opportunity: US$1,000,000 × 2.3844 = BRL2,384,4002,384,400 × 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 Canallars inrectly through Brazilireals threctly with U.S. llars. This creates a triangularbitrage opportunity: 请问这个结论是怎么来的？

2023-10-18 11:54 1 · 回答

NO.PZ2023041102000004 问题如下 If a aler's bisi quote for the CABRL is C$0.5250, Tremblay's profit on a US$1,000,000 initiinvestment in the triangularbitrage opportunity is closest to:. A.US$31,315.00 B.US$31,328.00 C.US$21,135.00 It is cheaper to buy Canallars inrectly through Brazilireals threctly with U.S. llars. This creates a triangularbitrage opportunity: US$1,000,000 × 2.3844 = BRL2,384,4002,384,400 × 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bipri2.3844而不是ask price？ biask的使用可以再讲一下吗？

2023-05-17 00:22 1 · 回答