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金玥莹 ృɞ · 2021年08月31日

考试一定是站在美国人角度吗？

  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).

考试一定是站在美国人角度吗？看体感他是加欧洲公司，还以为是从1欧元开始换的

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2 个答案

丹丹_品职答疑助手 · 2021年09月27日

嗨，爱思考的PZer你好：


同学你好，你说的是没错，一切都是相对的，但是报的价格是不一样的，所谓套利就是从不同的标价中寻找获利机会。

同学可以试试看你的思路，profit应该不如我们题目解法大

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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 · 2021年09月01日

嗨，爱思考的PZer你好：


同学你好，首先本题是dealer的报价转化成其报价形式看是否有套利空间的，DRN/EUR这个报价形式跟是否美国人没关系的。

另外，一般情况下，我们会认为是美国市场的角度

但是这个跟本题要求无关。

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加油吧，让我们一起遇见更好的自己！

荣 · 2021年09月26日

外汇市场一切都是相对的，可以buy DRN from the Daltonian dealer and sell DRN in the interbank market实现套利吗？

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NO.PZ2018091706000063 问题如下 Baseonthe exchange rate quotes in Exhibit 2, opportunistic Europehee funnterestein triangularbitrage between the aler aninterbank markets ismost likely to: Exhibit 2Interbank analerCurrenQuotes anRates A.buy EUR in the interbank market ansell EUR to theltonialer B.buy EUR from the ltonianaler ansell EUR in the interbank market C.scover thno triangulararbitrage opportunity exists Calculate the interbank impliecross rate for (N/EUR).Invert the (EUR/US quotes. The 0.8045 bibecomes 1/0.8045 = 1.243 offer for (USEUR). The 0.8065 offer becomes 1/0.8065 = 1.240 bifor (USEUR). termine the interbank impliecross currenquotes for (N/EUR) follows:Bi 1.205(N/US * 1.24 (USEUR) = 1.4942 (N/EUR)Offer: 1.210 (N/US*1.243 (USEUR) = 1.504 (R/EUR).解析:计算银行间隐含交叉利率(N/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(N/EUR): 买价: 1.205(N/US × 1.24 (USEUR) = 1.4942 (N/EUR);卖价: 1.210 (N/US×1.243 (USEUR) = 1.504 (R/EUR). 实际考试的汇率表达方式是一样的斜杠吗？还是用的冒号呢？另外这个题，直接相除不就行了，不用inverse了吧

2024-04-21 19:39 2 · 回答

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