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Zxxyyy · 2019年10月22日

问一道题：NO.PZ2018091706000063 [ CFA II ]

  1. CFA II
  2. Economics Analysis

问题如下图：

选项：

A.

B.

C.

解释：

想问一下，这样算下来，为什么没有套利机会呢？正确答案应该选择哪一个？

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1 个答案

源_品职助教 · 2019年10月23日

答案选的是A，因为银行间的DRN/EUR的报价要低于交易上的报价。

所以可以从银行间市场以1.504的价格买入EUR，再以1.5140的价格系那个做市商卖出EUR.

如此便有了套利利润。

 

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NO.PZ2018091706000063问题如下 Baseonthe exchange rate quotes in Exhibit 2, opportunistic Europehee funnterestein triangularbitrage between the aler aninterbank markets ismost likely to: Exhibit 2Interbank analerCurrenQuotes anRatesA.buy EUR in the interbank market ansell EUR to theltonialer B.buy EUR from the ltonianaler ansell EUR in the interbank market C.scover thno triangulararbitrage opportunity exists Calculate the interbank impliecross rate for (N/EUR).Invert the (EUR/US quotes. The 0.8045 bibecomes 1/0.8045 = 1.243 offer for (USEUR). The 0.8065 offer becomes 1/0.8065 = 1.240 bifor (USEUR). termine the interbank impliecross currenquotes for (N/EUR) follows:Bi 1.205(N/US * 1.24 (USEUR) = 1.4942 (N/EUR)Offer: 1.210 (N/US*1.243 (USEUR) = 1.504 (R/EUR).解析:计算银行间隐含交叉利率(N/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(N/EUR): 买价: 1.205(N/US × 1.24 (USEUR) = 1.4942 (N/EUR);卖价: 1.210 (N/US×1.243 (USEUR) = 1.504 (R/EUR). 老师可以补充一下这个逃离过程吗？ 是 US N - EUR -US吗？ 可是这个heefun里先有欧元的？ 越想越乱

2024-11-09 16:18 1 · 回答

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