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張寶寶 · 2024年04月26日

汇率交换

  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



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

为什么不是不是买sek的货币？


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笛子_品职助教 · 2024年04月27日

嗨，努力学习的PZer你好：


为什么不是不是买sek的货币？

Hello，亲爱的同学~

本题是从便宜的交叉汇率处买入SEK（ZAR/SEK= 1.1168），再在贵的报价商那里卖出SEK（ZAR/SEK = 1.1210）。

并不是同学说的不买SEK，而是不在贵的交易商那里买SEK。要在便宜的交易商那边买SEK。


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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

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