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凤鸣朝阳兮 · 2020年07月08日

问一道题：NO.PZ2018062003000208

  1. CFA I
  2. Economics Analysis

问题如下：

Nick and Joy are two dealers in America. A research report produced by Nick includes the following exhibit:

If Joy is quoting the USD/GBP cross-rate at 1.4210. Which of the following options is most accurate of the arbitrage profit?

选项：

A.

USD 32,000 per million GBP traded.

B.

GBP 29,000 per million USD traded.

C.

USD 29,000 per million GBP traded.

解释：

C is correct.

The USD/GBP cross-rate from Nick is (8.8318/6.3449) = 1.3920, which is lower than 1.4210 . To earn an arbitrage profit, a currency trader would buy GBP use 1.3920 and sell GBP use 1.4210, So the profit would be

GBP 1,000,000 × (1.4210 – 1.3920) = USD 29,000

考点： cross-rate

解析：

美元/英镑汇率为(8.8318/6.3449)= 1.3920，低于1.4210。为了获得套利利润，货币交易员会以1.3920的价格买进英镑，以1.4210卖出英镑，所以利润是

1000000英镑*(1.4210 - 1.3920)= 29000美元

29000利润可以理解

以1.3920的价格买进英镑，以1.4210卖出英镑获取利润的逻辑也理解

为什么是C选项的表达形式不太明白

29000不是英镑利润么？前面的USD什么意思？有点混乱

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1 个答案

源_品职助教 · 2020年07月08日

嗨，努力学习的PZer你好：


1000000 是英镑，但是后面乘以 *(1.4210 - 1.3920) 汇率之差后，

得到的29000就是美元而非英镑了。因为经过了汇率改变。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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