问一道题：NO.PZ201710020100000103-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ201710020100000103 G5,400. G10,800. A is correct. Using quotes from aler she cfinMXNGBP=MXNUSUSBP\frac{MXN}{GBP}=\frac{MXN}{US\times\frac{US{GBP}GBPMXN=USXN×GBPUS The bifrom aler A for MXN/Gis effectively (MXNGBP)bi(MXNUSbi(USBP)bi(\frac{MXN}{GBP})}_{bi={(\frac{MXN}{US)}_{bi\times{(\frac{US{GBP})}_{bi(GBPMXN)bi=(USXN)bi×(GBPUS)bi The offer from aler A is (MXNGBP)offer=(MXNUSoffer×(USBP)offer{(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{US)}_{offer}\times{(\frac{US{GBP})}_{offer}(GBPMXN)offer=(USXN)offer×(GBPUS)offer To compare with aler B’s quote, she must take the inverse of MXN/GBP, so thshe hoffer to sell MXN a rate of 1/24.7742 = G0.0404 ana bito purchase MXN a rate of 1/24.8069 = G0.0403. aler A is effectively quoting. Although she ceffectively buy pesos more cheaply from aler A (G0.0404 from aler versus G0.0406 from aler B), she cannot resell them to aler B for a higher prithG0.0403. There is no profit from triangularbitrage. 考点Triangularbitrage 能不能从三角套汇中获利的核心在于能不能实现低买高卖。首先我们计算出aler A处MXN/GBP的报价 (MXNGBP)bi(MXNUSbi(USBP)bi(\frac{MXN}{GBP})}_{bi={(\frac{MXN}{US)}_{bi\times{(\frac{US{GBP})}_{bi(GBPMXN)bi=(USXN)bi×(GBPUS)bi (MXNGBP)offer=(MXNUSoffer×(USBP)offer{(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{US)}_{offer}\times{(\frac{US{GBP})}_{offer}(GBPMXN)offer=(USXN)offer×(GBPUS)offer 把上述形式转换一下可得 GBP/MXN的形式， ASK: 1/24.7742 = 0.0404GBP/MXN BI 1/24.8069 = 0.0403GBP/MXN 注意到，MXN/GBP换成GBP/MXN后，因为标价货币和基础货币的地位对调了，所以取倒数后BIASK报价也要变化。现在我们可以拿aler A的报价与aler B的报价作比较了。 aler B关于GBP/MXN的报价是0.0403/0.0406。可以看到，aler A对于MXN报价便宜一些，那么投资者应该首先从aler A处以0.0404GBP/MXN的价格买进MXN，然后去aler B处卖掉MXN，但是在aler B卖掉MXN就要用aler B的买价，0.0403。可以直观看到投资者以0.0404价格买入，却以0.0403价格卖出，是没有利润可得的。所以投资者不会去做这笔三角套汇，那么三角套汇的利润自然为0。老师我光读这道题我没懂这个三角套利是从哪个币种转到哪个第一段说buy us然后又说收到一笔mxn的钱。。所以像这种情况应该怎么判多从哪转到哪呀

2021-09-10 21:23 1 · 回答

G5,400. G10,800. A is correct. Using quotes from aler she cfinMXNGBP=MXNUSUSBP\frac{MXN}{GBP}=\frac{MXN}{US\times\frac{US{GBP}GBPMXN=USXN×GBPUS The bifrom aler A for MXN/Gis effectively (MXNGBP)bi(MXNUSbi(USBP)bi(\frac{MXN}{GBP})}_{bi={(\frac{MXN}{US)}_{bi\times{(\frac{US{GBP})}_{bi(GBPMXN)bi=(USXN)bi×(GBPUS)bi The offer from aler A is (MXNGBP)offer=(MXNUSoffer×(USBP)offer{(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{US)}_{offer}\times{(\frac{US{GBP})}_{offer}(GBPMXN)offer=(USXN)offer×(GBPUS)offer To compare with aler B’s quote, she must take the inverse of MXN/GBP, so thshe hoffer to sell MXN a rate of 1/27.0271 = G0.0370 ana bito purchase MXN a rate of 1/27.3225 = G0.0366. aler A is effectively quoting. Although she ceffectively buy pesos more cheaply from aler A (G0.0370 from aler versus G0.0372 from aler B), she cannot resell them to aler B for a higher prithG0.0366. There is no profit from triangularbitrage. 考点Triangularbitrage 能不能从三角套汇中获利的核心在于能不能实现低买高卖。首先我们计算出aler A处MXN/GBP的报价 (MXNGBP)bi(MXNUSbi(USBP)bi(\frac{MXN}{GBP})}_{bi={(\frac{MXN}{US)}_{bi\times{(\frac{US{GBP})}_{bi(GBPMXN)bi=(USXN)bi×(GBPUS)bi (MXNGBP)offer=(MXNUSoffer×(USBP)offer{(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{US)}_{offer}\times{(\frac{US{GBP})}_{offer}(GBPMXN)offer=(USXN)offer×(GBPUS)offer 把上述形式转换一下可得 GBP/MXN的形式， ASK: 1/27.0271 = 0.0370GBP/MXN BI 1/27.3225 = 0.0366GBP/MXN 注意到，MXN/GBP换成GBP/MXN后，因为标价货币和基础货币的地位对调了，所以取倒数后BIASK报价也要变化。现在我们可以拿aler A的报价与aler B的报价作比较了。 aler B关于GBP/MXN的报价是0.0366/0.0372。可以看到，aler A对于MXN报价便宜一些，那么投资者应该首先从aler A处以0.0370GBP/MXN的价格买进MXN，然后去aler B处卖掉MXN，但是在aler B卖掉MXN就要用aler B的买价，0.0366。可以直观看到投资者以0.0370价格买入，却以0.0366价格卖出，是没有利润可得的。所以投资者不会去做这笔三角套汇，那么三角套汇的利润自然为0。本case中有的题要用biask 解题，有的要用mioint 解题。什么情况下用biask 解题，什么时候用mioint 解题呢？

2020-04-20 13:39 1 · 回答

老师好，这道题目的方法我掌握了，也做对了，但是看答案有个小问题为什么不用aler A的reviseUSGbioffer quote of 1.5760/1.5768, 而是用原始的 1.5762/1.5766？有什么深层含义吗？下次出这样的题目，应该用哪个算？

2018-12-08 15:17 2 · 回答

为什么答案里计算USGBP用的是1.5762/1.5766 而不是text里面A call ba给的报价1.5760/1.5768？谢谢

2018-04-20 11:37 1 · 回答

问一道题：NO.PZ201710020100000103

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