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tuotuo1986 · 2019年11月04日

问一道题：NO.PZ2018091706000063

  1. CFA II
  2. Economics Analysis

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interbank下面两行数字最后一列的0.82和1.2280分别是什么意思，没有列名，容易做题搞混了

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源_品职助教 · 2019年11月05日

这两个数字分别是前两列买价和卖价的一个中间价。

比如0.82是0.8045和0.8065的中间价。

tzdsgn · 2019年11月06日

中间价是干啥的

源_品职助教 · 2019年11月24日

中间价是买价和卖价的平均值

Yiyun · 2019年11月23日

同意toutou的建议，平均数字的话怎么等比两个数据dou'da'ne都大呢？而且题目PZ自编的话，表格框框也给显示一下，不然真的不知道是中间价格~为以后的学友服务，谢谢哈~我应该不会再做这题了

ziyue · 2019年11月11日

0.8045和0.8065的平均值怎么会是0.82呢，应该是0.8055啊

源_品职助教 · 2019年11月07日

就是买价和卖价的平均值

Wendy · 2019年11月23日

中间价的大小不是应该介于买价和卖价之间吗？我把第二列当成中间价了，第一列bid,第三列ask，算出来的结果是不能套利

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