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Churning · 2020年05月28日

问一道题：NO.PZ2016010802000208

  1. CFA I
  2. Economics Analysis

问题如下：

A dealer provides the following quotes:

Another dealer is quoting the ZAR/SEK cross-rate at 1.1210. The arbitrage profit that can be earned is closest to:

选项：

A.

ZAR 3671 per million SEK traded.

B.

SEK 4200 per million ZAR traded.

C.

ZAR 4200 per million SEK traded.

解释：

C is correct.

The ZAR/SEK cross-rate from the original dealer is (1.0218/0.9149) = 1.1168, which is lower than the quote from the second dealer. To earn an arbitrage profit, a currency trader would buy SEK (sell ZAR) from the original dealer and sell SEK (buy ZAR) to the second dealer. On 1 million SEK the profit would be

SEK 1,000,000 × (1.1210 – 1.1168) = ZAR 4200

考点： cross-rate

解析：原交易对商ZAR/SEK交叉率为(1.0218/0.9149)= 1.1168，低于第二个交易商的报价。为了赚取套利利润，投资者应当从原始交易商那里购买SEK (sell ZAR)，然后将SEK 卖给第二交易商(buy ZAR)。100万SEK的利润是

SEK 1,000,000 × (1.1210 – 1.1168) = ZAR 4200

老师 不太明白为什么是4200sek而不是4200zar呢 能不能解释下

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1 个答案

丹丹_品职答疑助手 · 2020年05月28日

嗨，爱思考的PZer你好：


同学你好，这个是根据咱们cfa教材和考试来帮助大家习惯的。可能其他地方教材也有不同，但毕竟是应试教育，还是尊重考试习惯


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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