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不忘初心 · 2024年05月11日

关于swap,arbitrage

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000068

问题如下：

Current spot CHF/USD rate: 1.3680 (1.3680CHF = 1USD)

3-month USD interest rates: 1.05%

3-month Swiss interest rates: 0.35%

(Assume continuous compounding)


A currency trader notices that the 3-month future price is USD 0.7350. In order to arbitrage, the trader should investment:

选项：

A.

Borrow CHF, buy USD spot, go long CHF futures

B.

Borrow CHF, sell CHF spot, go short CHF futures

C.

Borrow USD, buy CHF spot, go short CHF futures

D.

Borrow USD, sell USD spot, go long CHF futures

解释：

Step 1. The spot is quoted in terms of Swiss Francs per USD, theoretical future price of USD = 1.368 × e(0.35% – 1.05%) × 3/12 = 1.368 × 0.99825 = 1.36561 CHF

Step 2. 3-month future price is USD 0.7350 → 1/0.7350 = 1.3605 CHF

Step 3. 1.36561 CHF > 1.3605 CHF → USD future contract is undervalued

Step 4. Arbitrage strategies: borrow USD (buy CHF) spot, buy USD (short CHF) future.

前面三步都能确定，第四部没懂，请老师解答。并请提示相应的视频课件位置

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1 个答案

李坏_品职助教 · 2024年05月11日

嗨，努力学习的PZer你好：


这个是用Spot与futures汇率进行套利。


第一步算出来理论上的USD期货汇率是 1USD = 1.36561 CHF，

第二步求出现实中的USD期货汇率是 1USD = 1.3605 CHF,

第三步是进行判断：现实中的USD期货汇率被低估了。

第四步是进行套利操作：既然现实中USD期货汇率被低估，我们应该buy USD future来进行“低买”操作（buy USD futures就等于short CHF futures）。

但如果只进行单边交易，那就是投机了，不是套利。套利是要同时进行一买一卖的双边操作，所以还应该再加上一个buy CHF spot才行。另外套利的原则是尽量不要用自己的资金，要用借来的钱， 所以一开始还要Borrow USD。

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NO.PZ2023091802000068 问题如下 Current spot CHF/USrate: 1.3680 (1.3680CHF = 1US 3-month USinterest rates: 1.05% 3-month Swiss interest rates: 0.35% (Assume continuous compounng) A currentrar notices ththe 3-month future priis US.7350. In orr to arbitrage, the trar shoulinvestment: A.Borrow CHF, buy USspot, go long CHF futures B.Borrow CHF, sell CHF spot, go short CHF futures C.Borrow US buy CHF spot, go short CHF futures Borrow US sell USspot, go long CHF futures Step 1. The spot is quotein terms of Swiss Franper UStheoreticfuture priof US= 1.368 × e(0.35% – 1.05%) × 3/12 =1.368 × 0.99825 = 1.36561 CHF Step 2. 3-month future priis US0.7350 →1/0.7350 = 1.3605 CHF Step 3. 1.36561 CHF 1.3605 CHF → USuture contrais unrvalueStep 4. Arbitrage strategies: borrow US(buyCHF) spot, buy US(short CHF) future. 老师好，这个汇率的题目总是有一点疑惑他说1.368 CFH/US 那么CFH 就是base currency, USis quotecurrency. to calculate future priF=S[(1+RA)/(1+RB)]^TWhere RA is the interest rate of the quotecurren(1.05%) anRB is the interest rate of the base curren(0.35%）for continuous compounng interest rateF不应该等于S*EXP[(RA-RB)*T]吗为什么答案是F=1.368*EXP[(0.35%-1.05%)*0.25]

2024-10-20 01:45 1 · 回答

NO.PZ2023091802000068问题如下 Current spot CHF/USrate: 1.3680 (1.3680CHF = 1US 3-month USinterest rates: 1.05% 3-month Swiss interest rates: 0.35% (Assume continuous compounng) A currentrar notices ththe 3-month future priis US.7350. In orr to arbitrage, the trar shoulinvestment: A.Borrow CHF, buy USspot, go long CHF futuresB.Borrow CHF, sell CHF spot, go short CHF futuresC.Borrow US buy CHF spot, go short CHF futuresBorrow US sell USspot, go long CHF futures Step 1. The spot is quotein terms of Swiss Franper UStheoreticfuture priof US= 1.368 × e(0.35% – 1.05%) × 3/12 =1.368 × 0.99825 = 1.36561 CHF Step 2. 3-month future priis US0.7350 →1/0.7350 = 1.3605 CHF Step 3. 1.36561 CHF 1.3605 CHF → USuture contrais unrvalueStep 4. Arbitrage strategies: borrow US(buyCHF) spot, buy US(short CHF) future. 不太明白us.7350具体什么含义？us.7350和chf具体数量关系是什么？

2024-07-01 17:35 1 · 回答