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OliverQu · 2019年11月10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).

计算交叉汇率时为什么不用（DRN/USD）除以（EUR/USD）？这样能得出DRN/EUR么？谢谢

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2 个答案

源_品职助教 · 2019年11月13日

同学你说的是 （DRN/USD）÷（EUR/USD）

我们解析写的是 （DRN/USD) × (USD/EUR)

虽然第二项的分子分母颠倒了，但是中间的乘除号也颠倒了，这样结果就是一模一样的

至于选取BID还是ASK，还是那句口诀，乘小除大。

源_品职助教 · 2019年11月11日

用（DRN/USD）除以（EUR/USD）能得出DRN/EUR。

但是用（DRN/USD）除以（EUR/USD），不就是我们解析里写的 （DRN/USD) × (USD/EUR) ，其实都是一回事啊。

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