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肉饼 · 2025年07月05日

short brl

NO.PZ2023071902000006

问题如下:

Question

An investor reviews the rate quotes for the Brazilian real (BRL) and the Australian dollar (AUD) and decides to short BRL520,000.

Spot rate BRL/AUD: 2.1150

BRL 1-year interest rate: 4.3%

Forward rate BRL/AUD: 2.1410

AUD 1-year interest rate: 3.3%

What is the closest risk-free arbitrage profit available?

选项:

A.–BRL6,500.

B.BRL1,400.

C.BRL6,580.

解释:

Solution
  1. Correct. The equation below represents the "covered interest arbitrage relationship." If this relationship is not satisfied, a risk-free arbitrage opportunity exists.

    MAX17009-MC-Ff

    (1+id)=Sf/d(1+if)(1Ff/d)


    Left Side of Equation: BRL520,000 × (1 + 0.043) = BRL542,360

    Right Side of Equation:

    Step Transaction Explanation

    1 BRL520,000 × (1/2.1150AUD/BRL) = AUD245,862.88 Convert domestic to foreign

    2 AUD245,862.88 × (1.033) = AUD253,976.36 Invest foreign at foreign rate

    3 AUD253,976.36 × 2.1410 = BRL543,763.39 Convert foreign to domestic

    Arbitrage profit = BRL543,763.39 – BRL542,360 ≈ BRL1,403

Exchange Rate Calculations

• explain the arbitrage relationship between spot and forward exchange rates and interest rates, calculate a forward rate using points or in percentage terms, and interpret a forward discount or premium

等式左侧:BRL520,000 × (1 + 0.043) = BRL542,360


等式左边:BRL520,000 × (1 + 0.043) = BRL542,360

等式右边:
步骤交易说明:

1 BRL520,000 × (1/2.1150 aud /BRL) = AUD245,862.88,即用本币兑换外币

2 AUD245,862.88 × (1.033) = AUD253,976.36,即按外国汇率进行海外投资

3 AUD253,976.36 × 2.1410 = BRL543,763.39,即外币兑换国内货币

套利利润= BRL543,763.39 - BRL542,360≈BRL1,403

听课的时候就没理解,什么叫short brl ?卖出巴西雷亚尔?

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NO.PZ2023071902000006 问题如下 Questioninvestor reviews the rate quotes for the Brazilire(BRL) anthe Australill(AU ancis to short BRL520,000. Spot rate BRL/AU 2.1150BRL 1-yeinterest rate: 4.3%Forwarrate BRL/AU 2.1410AU1-yeinterest rate: 3.3%Whis the closest risk-free arbitrage profit available? A.–BRL6,500. B.BRL1,400. C.BRL6,580. Solution Correct. The equation below represents the\"covereinterest arbitrage relationship.\" If this relationship isnot satisfie a risk-free arbitrage opportunity exists. (1+i=Sf/1+if)(1Ff/(1+i=Sf/1+if)(1Ff/Left Si ofEquation: BRL520,000 × (1 + 0.043) = BRL542,360 Right Si ofEquation:Step Transaction Explanation1 BRL520,000 × (1/2.1150AUBRL) =AU45,862.88 Convert mestic toforeign2 AU45,862.88 × (1.033) = AU53,976.36 Invest foreign foreign rate3 AU53,976.36 × 2.1410 = BRL543,763.39 Convert foreign to mestic Arbitrage profit =BRL543,763.39 – BRL542,360 ≈ BRL1,403Exchange Rate Calculations• explain the arbitrage relationship between spot anforwarexchange rates aninterest rates, calculate a forwarrate using points or in percentage terms, aninterpret a forwarscount or premium 等式左侧:BRL520,000 × (1 + 0.043) = BRL542,360等式左边:BRL520,000 × (1 + 0.043) = BRL542,360等式右边步骤交易说明1 BRL520,000 × (1/2.1150 au/BRL) = AU45,862.88,即用本币兑换外币2 AU45,862.88 × (1.033) = AU53,976.36,即按外国汇率进行海外投资3 AU53,976.36 × 2.1410 = BRL543,763.39,即外币兑换国内货币套利利润= BRL543,763.39 - BRL542,360≈BRL1,403 左边是F/S, 右边是(1+BRL)/(1+AU,这样算为什么不对?

2025-02-07 15:16 1 · 回答