问题如下图:
选项:
A.
B.
C.
解释:
老师好,这道题目的方法我掌握了,也做对了,但是看答案有个小问题:
为什么不用dealer A的revised USD/GBP bid/offer quote of 1.5760/1.5768, 而是用原始的 1.5762/1.5766?
有什么深层含义吗?
下次出这样的题目,应该用哪个算?
NO.PZ201710020100000103 G5,400. G10,800. A is correct. Using quotes from aler she cfinMXNGBP=MXNUSUSBP\frac{MXN}{GBP}=\frac{MXN}{US\times\frac{US{GBP}GBPMXN=USXN×GBPUS The bifrom aler A for MXN/Gis effectively (MXNGBP)bi(MXNUSbi(USBP)bi(\frac{MXN}{GBP})}_{bi={(\frac{MXN}{US)}_{bi\times{(\frac{US{GBP})}_{bi(GBPMXN)bi=(USXN)bi×(GBPUS)bi The offer from aler A is (MXNGBP)offer=(MXNUSoffer×(USBP)offer{(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{US)}_{offer}\times{(\frac{US{GBP})}_{offer}(GBPMXN)offer=(USXN)offer×(GBPUS)offer To compare with aler B’s quote, she must take the inverse of MXN/GBP, so thshe hoffer to sell MXN a rate of 1/24.7742 = G0.0404 ana bito purchase MXN a rate of 1/24.8069 = G0.0403. aler A is effectively quoting. Although she ceffectively buy pesos more cheaply from aler A (G0.0404 from aler versus G0.0406 from aler B), she cannot resell them to aler B for a higher prithG0.0403. There is no profit from triangularbitrage. 考点Triangularbitrage 能不能从三角套汇中获利的核心在于能不能实现低买高卖。 首先我们计算出aler A处MXN/GBP的报价 (MXNGBP)bi(MXNUSbi(USBP)bi(\frac{MXN}{GBP})}_{bi={(\frac{MXN}{US)}_{bi\times{(\frac{US{GBP})}_{bi(GBPMXN)bi=(USXN)bi×(GBPUS)bi (MXNGBP)offer=(MXNUSoffer×(USBP)offer{(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{US)}_{offer}\times{(\frac{US{GBP})}_{offer}(GBPMXN)offer=(USXN)offer×(GBPUS)offer 把上述形式转换一下可得 GBP/MXN的形式, ASK: 1/24.7742 = 0.0404GBP/MXN BI 1/24.8069 = 0.0403GBP/MXN 注意到,MXN/GBP换成GBP/MXN后,因为标价货币和基础货币的地位对调了,所以取倒数后BIASK报价也要变化。 现在我们可以拿aler A的报价与aler B的报价作比较了。 aler B关于GBP/MXN的报价是0.0403/0.0406。可以看到,aler A对于MXN报价便宜一些,那么投资者应该首先从aler A处以0.0404GBP/MXN的价格买进MXN,然后去aler B处卖掉MXN,但是在aler B卖掉MXN就要用aler B的买价,0.0403。可以直观看到投资者以0.0404价格买入,却以0.0403价格卖出,是没有利润可得的。所以投资者不会去做这笔三角套汇,那么三角套汇的利润自然为0。 老师我光读这道题我没懂这个三角套利 是从哪个币种转到哪个 第一段说buy us然后又说收到一笔mxn的钱。。所以像这种情况应该怎么判多从哪转到哪呀
想问下这题有reviseUSGBP,为什么不用新的? 是不有歧义啊
G5,400. G10,800. A is correct. Using quotes from aler she cfinMXNGBP=MXNUSUSBP\frac{MXN}{GBP}=\frac{MXN}{US\times\frac{US{GBP}GBPMXN=USXN×GBPUS The bifrom aler A for MXN/Gis effectively (MXNGBP)bi(MXNUSbi(USBP)bi(\frac{MXN}{GBP})}_{bi={(\frac{MXN}{US)}_{bi\times{(\frac{US{GBP})}_{bi(GBPMXN)bi=(USXN)bi×(GBPUS)bi The offer from aler A is (MXNGBP)offer=(MXNUSoffer×(USBP)offer{(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{US)}_{offer}\times{(\frac{US{GBP})}_{offer}(GBPMXN)offer=(USXN)offer×(GBPUS)offer To compare with aler B’s quote, she must take the inverse of MXN/GBP, so thshe hoffer to sell MXN a rate of 1/27.0271 = G0.0370 ana bito purchase MXN a rate of 1/27.3225 = G0.0366. aler A is effectively quoting. Although she ceffectively buy pesos more cheaply from aler A (G0.0370 from aler versus G0.0372 from aler B), she cannot resell them to aler B for a higher prithG0.0366. There is no profit from triangularbitrage. 考点Triangularbitrage 能不能从三角套汇中获利的核心在于能不能实现低买高卖。 首先我们计算出aler A处MXN/GBP的报价 (MXNGBP)bi(MXNUSbi(USBP)bi(\frac{MXN}{GBP})}_{bi={(\frac{MXN}{US)}_{bi\times{(\frac{US{GBP})}_{bi(GBPMXN)bi=(USXN)bi×(GBPUS)bi (MXNGBP)offer=(MXNUSoffer×(USBP)offer{(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{US)}_{offer}\times{(\frac{US{GBP})}_{offer}(GBPMXN)offer=(USXN)offer×(GBPUS)offer 把上述形式转换一下可得 GBP/MXN的形式, ASK: 1/27.0271 = 0.0370GBP/MXN BI 1/27.3225 = 0.0366GBP/MXN 注意到,MXN/GBP换成GBP/MXN后,因为标价货币和基础货币的地位对调了,所以取倒数后BIASK报价也要变化。 现在我们可以拿aler A的报价与aler B的报价作比较了。 aler B关于GBP/MXN的报价是0.0366/0.0372。可以看到,aler A对于MXN报价便宜一些,那么投资者应该首先从aler A处以0.0370GBP/MXN的价格买进MXN,然后去aler B处卖掉MXN,但是在aler B卖掉MXN就要用aler B的买价,0.0366。可以直观看到投资者以0.0370价格买入,却以0.0366价格卖出,是没有利润可得的。所以投资者不会去做这笔三角套汇,那么三角套汇的利润自然为0。本case中有的题要用biask 解题,有的要用mioint 解题。什么情况下用biask 解题,什么时候用mioint 解题呢?
为什么答案里计算USGBP用的是1.5762/1.5766 而不是text里面A call ba给的报价1.5760/1.5768?谢谢