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丁洁Amy · 2021年07月25日

符号调换问题

  1. CFA II
  2. Economics Analysis

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).

老师好，

题干表格中给的 DRN/USD 的bid是1.205，想请问把货币符号换到右边时是1.205DRN/USD还是1.205USD/DRN呀？

我看到答疑老师用的是DRN/USD 的bid是1.205 即为1.205DRN/USD。不是换到右边的时候上下货币符号要调换一下的么？

谢谢老师

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3 个答案

丹丹_品职答疑助手 · 2021年07月27日

嗨，爱思考的PZer你好：


同学，上面就是我的计算公式。同学你可以新开一个问题，把你的解答过程贴上来，我看一下

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努力的时光都是限量版，加油！

丹丹_品职答疑助手 · 2021年07月26日

嗨，爱思考的PZer你好：


同学你好，1.205(DRN/USD) 想变成USD/DRN只需要取下倒数，同时我们取1/1.205=0.8298755就是USD/DRN的标价方式下的价格

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

丹丹_品职答疑助手 · 2021年07月25日

嗨，从没放弃的小努力你好：


同学你哈，1.205(DRN/USD) 符号调换就是1/1.205 usd/drn 

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努力的时光都是限量版，加油！

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