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).
interbank的报价是1.4942/1.504，而dealer的报价是1.514/1.519，dealer的报价左右两边都有更高的数字，怎么判断我们是否有套利机会？
