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Biubiubird · 2024年11月09日

套利过程

  1. CFA II
  2. Economics Analysis

NO.PZ2018091706000063

问题如下：

Based on the exchange rate quotes in Exhibit 2, an opportunistic European hedge fund interested in triangular arbitrage between the dealer and interbank markets is most likely to:

Exhibit 2Interbank and Dealer Currency Quotes and Rates

选项：

A.

buy EUR in the interbank market and sell EUR to the Daltonian dealer

B.

buy EUR from the Daltonian dealer and sell EUR in the interbank market

C.

discover that no triangular arbitrage opportunity exists

解释：

Calculate the interbank implied cross rate for (DRN/EUR).

Invert the (EUR/USD) quotes. The 0.8045 bid becomes 1/0.8045 = 1.243 offer for (USD/EUR). The 0.8065 offer becomes 1/0.8065 = 1.240 bid for (USD/EUR).

Determine the interbank implied cross currency quotes for (DRN/EUR) as follows:

Bid: 1.205(DRN/USD) * 1.24 (USD/EUR) = 1.4942 (DRN/EUR)

Offer: 1.210 (DRN/USD)*1.243 (USD/EUR) = 1.504 (DNR/EUR).

解析:

计算银行间隐含交叉利率(DRN/EUR)过程如下：

先计算反向报价(欧元/美元)。0.8045 买价变成卖价1/0.8045 = 1.243(美元/欧元)。0.8065的卖价变成买价1/0.8065 = 1240美元/欧元。

确定下列银行间隐含的货币交叉报价(DRN/EUR):

买价: 1.205(DRN/USD) × 1.24 (USD/EUR) = 1.4942 (DRN/EUR);

卖价: 1.210 (DRN/USD)×1.243 (USD/EUR) = 1.504 (DNR/EUR).

老师可以补充一下这个逃离过程吗？

是 USD- DRN - EUR -USD 吗？ 可是这个hedgefund手里先有欧元的？ 越想越乱

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1 个答案

品职助教_七七 · 2024年11月09日

嗨，爱思考的PZer你好：


首先算出interbank上的cross rate为 1.4941-1.5040 DRN/EUR。

和dealer的报价1.5140-1.5190 DRN/EUR相比，interbank market的对应数字更小，说明base currency EUR在interbank上更便宜（interbank上的DRN更贵）。反过来说就是dealer的EUR更贵，DRN更便宜。

所以，套利过程为：

手里有EUR，在dealer的市场上买更便宜的DRN（卖EUR），然后在interbank市场上把DRN换回成EUR（卖DRN，买EUR）。

这就是A选项的描述，只不过顺序换了一下。

这个套利过程就是EUR→DRN→EUR，这个过程下来后，手里的EUR就会变多。

全程不涉及到USD。USD在计算cross rate的时候就消掉了。

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