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小胖 · 2020年10月03日

问一道题:NO.PZ2018091706000063

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).

老师您好,我对这道题的作答及解析没有疑问,但是对这个知识点有些疑问,想问一下我们做题的时候会比较interbank的ask和dealer的bid,那么:如果前者低于后者则存在套利空间,还是只要两者不相等就存在套利空间呢?如果是前者较大该怎么套利呢?

2 个答案
已采纳答案

丹丹_品职答疑助手 · 2020年10月04日

嗨,努力学习的PZer你好:


同学你好,只要两者不相等就有套利空间


-------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


丹丹_品职答疑助手 · 2020年10月03日

嗨,从没放弃的小努力你好:


同学你好,只要两者不相等就有套利空间


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


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