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啵啵啵啵啵啵儿儿 · 2020年08月06日

问一道题:NO.PZ2016010802000208

问题如下:

A dealer provides the following quotes:

Another dealer is quoting the ZAR/SEK cross-rate at 1.1210. The arbitrage profit that can be earned is closest to:

选项:

A.

ZAR 3671 per million SEK traded.

B.

SEK 4200 per million ZAR traded.

C.

ZAR 4200 per million SEK traded.

解释:

C is correct.

The ZAR/SEK cross-rate from the original dealer is (1.0218/0.9149) = 1.1168, which is lower than the quote from the second dealer. To earn an arbitrage profit, a currency trader would buy SEK (sell ZAR) from the original dealer and sell SEK (buy ZAR) to the second dealer. On 1 million SEK the profit would be

SEK 1,000,000 × (1.1210 1.1168) = ZAR 4200

考点: cross-rate

解析:原交易对商ZAR/SEK交叉率为(1.0218/0.9149)= 1.1168,低于第二个交易商的报价。为了赚取套利利润,投资者应当从原始交易商那里购买SEK (sell ZAR),然后将SEK 卖给第二交易商(buy ZAR)。100万SEK的利润是

SEK 1,000,000 × (1.1210 1.1168) = ZAR 4200

老师,好:


我研究了半天还是没懂单位为啥是按c选项的写法。答案的那个计算方法我也没看明白。看前面解释说是协会规定,那意思就是碰见类似的题目算完,直接把两边单位换一下选答案么?我按何老师上课说的把汇率写法变成斜杠统一形式,算出来的就是b选项。能否写下具体的计算过程。谢谢。

1 个答案
已采纳答案

丹丹_品职答疑助手 · 2020年08月07日

嗨,努力学习的PZer你好:


同学你好,根据题干要求,我们要ZAR/SEK  1.1210.进行套利,根据题干要求,ZAR/SEK=(CNY/SEK)/(CNY/ZAR)=1.0218/0.9149= 1.1168

SEK 1,000,000 × (1.1210 – 1.1168) = ZAR 4200

所以C选项正确。

 


-------------------------------
努力的时光都是限量版,加油!


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