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AJI · 2023年11月08日

利差问题

  1. CFA II
  2. Economics Analysis

NO.PZ2023041102000004

问题如下：

If a dealer's bid-side quote for the CAD/BRL is C$0.5250, Tremblay's profit on a US$1,000,000 initial investment in the triangular arbitrage opportunity is closest to:.

选项：

A.US$31,315.00 B.US$31,328.00 C.US$21,135.00

解释：

It is cheaper to buy Canadian dollars indirectly through Brazilian reals than directly with U.S. dollars. This creates a triangular arbitrage opportunity:

US$1,000,000 × 2.3844 = BRL2,384,400

2,384,400 × 0.5250 = C$1,251,810

C$1,251,810/1.2259 = US$1,021,135

US$1,021,135 – US$1,000,000 = US$21,135 profit.

此题中为何不用考虑美国和巴西的利差吗？（Rf+Inflation Rate）

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笛子_品职助教 · 2023年11月10日

嗨，爱思考的PZer你好：


Hello，亲爱的同学~

运用到利率的题目，一般会涉及利率评价的内容。

运用到通胀的题目，一般会涉及到购买力平价的内容。

但是本题，属于三角套汇的题目，并不涉及到利率平价与购买力平价。

三角套汇这部分内容，只涉及到汇率，并没有涉及到利率的呦~

因此不用考虑美国和巴西的利率的。


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