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Diana · 2024年04月11日

怎么判断有没有三角套利的机会？

  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).

怎么判断有没有三角套利的机会？

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1 个答案

笛子_品职助教 · 2024年04月11日

嗨，从没放弃的小努力你好：


怎么判断有没有三角套利的机会？

Hello，亲爱的同学~

我们对比三角套汇算出的汇率（下面指A汇率），与dealer直接报价的汇率（下面指B汇率）。

因为投资者的买入价是ask价格，投资者卖出的价格是bid价。

因此：

当A汇率的ask价格，低于B汇率的bid价格，投资者就可以低价（A汇率的ask）买入，高价（B汇率的bid）卖出，实现套利利润。

当B汇率的ask价格，低于A汇率的bid价格，投资者也可以低价（B汇率的ask）买入，高价(A汇率的bid）卖出，实现套利利润。

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加油吧，让我们一起遇见更好的自己！

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