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🐚 · 2024年10月17日

为什么不是0.9149/1.0218

  1. CFA I
  2. Economics Analysis

NO.PZ2023061903000022

问题如下：

A dealer provides spot rate quotes for the following currencies:


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

要找ZAR/ZEK，为什么要用1.0218/0.9149， 而不是0。9149/1.0218

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1 个答案

笛子_品职助教 · 2024年10月17日

嗨，从没放弃的小努力你好：


要找ZAR/ZEK，为什么要用1.0218/0.9149， 而不是0。9149/1.0218

Hello，亲爱的同学~

这里使用代数规则来判断，汇率里的/，可以看成除法。


结合本题：已知CNY/ZAR，CNY/SEK，要计算ZAR / SEK。

用代数规则可以知道：ZAR ÷ SEK = （CNY÷SEK） ÷ （CNY÷ZAR）

因此使用1.0218/0.9149


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

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