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Pythias · 2025年01月29日

这题能用这种做法吗

  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).

请问这题能不能这么做：

先算出银行间市场的DRN/EUR买卖价:用下一行除以上一行，分别得出Bid价1.4978和Ask价1.5003，然后与Dealer的报价相比较。因为银行间的Ask价低于Dealer的Bid价，所以去银行间买，再卖Dealer

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1 个答案

品职助教_七七 · 2025年01月29日

嗨，努力学习的PZer你好：


可以“用下一行除以上一行”算出银行间市场的DRN/EUR价格，这个做法和解析中的 先取上一行的倒数再相乘 是一样的。

但是相除应该是除对角，不能除同边。计算应为：

bid：1.205/0.8065=1.49411；

ask：1.21/0.8045=1.50404；

然后再和dealer市场的报价相比，发现银行间市场的EUR便宜，也就可以从银行间市场买EUR，再到dealer市场上卖EUR。

（和解析中数字的细微不同源自计算过程中的四舍五入）

----------------------------------------------
努力的时光都是限量版，加油！

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