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MWW · 2021年06月21日

为什么是买卖英镑套利？

  1. CFA I
  2. Economics Analysis

NO.PZ2018062003000208

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

我算出来了1.391953 USD/GBP，小于1.4210 USD/GBP。然后是如何判断的呢，用的又是什么知识点？

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1 个答案

丹丹_品职答疑助手 · 2021年06月21日

嗨，努力学习的PZer你好：


同学你好，1.391953 USD/GBP的意思是1英镑=1.391953美元，而合约的价格是1英镑=1.4210美元

显然合约中的英镑更值钱，所以我们可以1.3920的价格买进英镑，以1.4210卖出。

主要基于的还是套利原则，即买低卖高。针对本题同学可以从标价货币上理解后再进行套利

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