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NO.PZ201710020100000103

问题如下：

3. Using the quotes from Dealer A and B, the triangular arbitrage profit on a transaction of MXN 27,000,000 would be closest to:

选项：

GBP 0.

GBP 5,400.

GBP 10,800.

解释：

A is correct.

Using quotes from Dealer A, she can find

$\frac{MXN}{GBP}=\frac{MXN}{USD}\times\frac{USD}{GBP}$

The bid from Dealer A for MXN/GBP is effectively

${(\frac{MXN}{GBP})}_{bid}={(\frac{MXN}{USD})}_{bid}\times{(\frac{USD}{GBP})}_{bid}$

The offer from Dealer A is

${(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{USD})}_{offer}\times{(\frac{USD}{GBP})}_{offer}$

To compare with Dealer B’s quote, she must take the inverse of MXN/GBP, so that she has an offer to sell MXN at a rate of 1/24.7742 = GBP 0.0404 and a bid to purchase MXN at a rate of 1/24.8069 = GBP 0.0403. Dealer A is effectively quoting. Although she can effectively buy pesos more cheaply from Dealer A (GBP 0.0404 from Dealer A, versus GBP 0.0406 from Dealer B), she cannot resell them to Dealer B for a higher price than GBP 0.0403. There is no profit from triangular arbitrage.

考点：Triangular arbitrage

能不能从三角套汇中获利的核心在于能不能实现低买高卖。

首先我们计算出Dealer A处MXN/GBP的报价

${(\frac{MXN}{GBP})}_{bid}={(\frac{MXN}{USD})}_{bid}\times{(\frac{USD}{GBP})}_{bid}$

${(\frac{MXN}{GBP})}_{offer}={(\frac{MXN}{USD})}_{offer}\times{(\frac{USD}{GBP})}_{offer}$

把上述形式转换一下可得 GBP/MXN的形式，

ASK: 1/24.7742 = 0.0404GBP/MXN

BID: 1/24.8069 = 0.0403GBP/MXN

注意到，MXN/GBP换成GBP/MXN后，因为标价货币和基础货币的地位对调了，所以取倒数后BID和ASK报价也要变化。现在我们可以拿Dealer A的报价与Dealer B的报价作比较了。

Dealer B关于GBP/MXN的报价是0.0403/0.0406。可以看到，Dealer A对于MXN报价便宜一些，那么投资者应该首先从Dealer A处以0.0404GBP/MXN的价格买进MXN，然后去Dealer B处卖掉MXN，但是在Dealer B卖掉MXN就要用Dealer B的买价，0.0403。可以直观看到投资者以0.0404价格买入，却以0.0403价格卖出，是没有利润可得的。所以投资者不会去做这笔三角套汇，那么三角套汇的利润自然为0。

老师我光读这道题我没懂这个三角套利是从哪个币种转到哪个第一段说buy usd，然后又说收到一笔mxn的钱。。所以像这种情况应该怎么判多从哪转到哪呀

8527 · 2021年09月10日

我看懂了不用解答了谢谢

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