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Chinazdk · 2024年02月08日

第一步

  1. CFA I
  2. Economics Analysis

NO.PZ2023061903000022

问题如下：

A dealer provides spot rate quotes for the following currencies:

Q. Another dealer is quoting the ZAR/SEK cross-rate at 1.1210. The arbitrage profit that can be earned is closest to:

选项：

A.ZAR3671 per million Swedish krona traded.

B.SEK4200 per million South African rand traded.

C.ZAR4200 per million Swedish krona traded.

解释：

C is correct. The ZAR/SEK cross-rate from the original dealer is (1.0218/0.9149) = 1.1168, which is lower than the quote from the second dealer. To earn an arbitrage profit, a currency trader would buy Swedish krona (sell South African rand) from the original dealer and sell Swedish krona (buy South African rand) to the second dealer. On SEK1 million, the profit would be:

SEK1,000,000 × (1.1210 – 1.1168) = ZAR4,200

第一步的算式怎么列？要sell rand先？Rand从哪里来？

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1 个答案

笛子_品职助教 · 2024年02月08日

嗨，爱思考的PZer你好：


交叉汇率这里可以使用代数法，就把/当作➗来看

(CNY / SEK)➗(CNY/ZAR) = ZAR/SEK

1.0218 ➗0.9148=ZAR/SEK


同学用这个方法来列第一步的算式就可以。

不用考虑具体兑换过程，直接用代数法，决定是乘还是除。

推荐同学这么去使用，解题速度快。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2023061903000022 问题如下 A aler provis spot rate quotes for the following currencies:Another aler is quoting the ZAR/SEK cross-rate 1.1210. The arbitrage profit thcearneis closest to: A.ZAR3671 per million Swesh krona tra B.SEK4200 per million South Africrantra C.ZAR4200 per million Swesh krona tra C is correct. The ZAR/SEK cross-rate from the originaler is (1.0218/0.9149) = 1.1168, whiis lower ththe quote from the seconaler. To earn arbitrage profit, a currentrar woulbuy Swesh krona (sell South Africran from the originaler ansell Swesh krona (buy South Africran to the seconaler. On SEK1 million, the profit woulbe:SEK1,000,000 × (1.1210 – 1.1168) = ZAR4,200 C正确。初始交易商的ZAR/SEK交叉汇率为(1.0218/0.9149)= 1.1168，低于第二家交易商的报价。为了赚取套利利润，货币交易者会从最初的交易商那里买入瑞典克朗(卖出南非兰特)，然后将瑞典克朗(买入南非兰特)卖给第二个交易商。以1亿瑞典克朗计算，其利润为:SEK1,000,000 × (1.1210 – 1.1168) = ZAR4,200 要找ZAR/ZEK，为什么要用1.0218/0.9149， 而不是0。9149/1.0218

2024-10-17 00:49 1 · 回答

题干错误:没看到初始交叉汇率

2024-10-16 12:37 1 · 回答

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2024-10-16 12:37 1 · 回答

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2024-10-16 12:35 1 · 回答

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2024-10-04 23:54 1 · 回答