问题如下:
BBQ firm is an British company and exports steel to a firm which is in USA. Assume BBQ receives the payment of $3,600,000 . BBQ observes the spot exchange rates as the following table shows:
Then he calls a dealer who quotes 1.5500 USD/GBP for bid and 1.5505 for ask. According to the above information BBQ enters a triangular arbitrage transaction. The profit on USD 3,600,000 payment is closest to
选项:
A.0.
B.USD 6,300.
C.GBP 6,300.
解释:
A is correct.
考点:Triangular arbitrage
解析:首先我们根据题干表格的第三、第四行,通过交叉汇率求解得关于USD/GBP的市场报价。
由此我们知道,相对于DealerA的报价( 1.5500-15505 ),市场 对于GBP的报价便宜( 1.5490-1.5504 )。但是这里依然没有套利空间的存在。因为,虽然BBQ可以从市场以1.5504USD/GBP的价格买入GBP,但是他没有办法以高于1.5500USD/GBP的价格把GBP卖给DelaerA。那么货币的买入价1.5504大于卖出价1.5500,所以不存在套利空间。套利利润为0.
dealer rate = 1.5500 ~ 1.5505, 然后求出spot cross-rate = 1.5490 ~ 1.5504,到这一步还不能直接判断有没有套利空间对吗?
所以如果总结规律,就算bid ask都低,也不一定有套利空间,必须一步步推导?
因为记得视频课里面两道例题,第二道是因为bid相等所以要具体分析;但第一道也是bid ask都低,就有套利空间。