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)