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稳如泰山 · 2023年03月11日

为啥不直接交叉相除呢~

  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).

用1换一下是什么意思~~

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1 个答案

笛子_品职助教 · 2023年03月11日

嗨，努力学习的PZer你好：


这里可以交叉相除。

1.205*1.24=1.205/0.8065

1.21*1.243=1.21/0.8045


用1换是指取倒数，比如要除以0.8065，可以写成，乘以 1.24=1/0.8065。


同学直接用交叉相除就可以了，本题解析是考虑到同学可能不理解交叉相除，就把交叉相除的原理和推导过程也写了出来，其实这个推导过程写在解析里是没有必要的。因为交叉相除是学过的，直接用就可以用的，不需要再推导一遍。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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