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ciaoyy · 2018年01月20日

问一道题:NO.PZ2016010802000208 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:


这道题是不是不需要考虑F,S,只是当期的一个套利情况。低买高卖算profit?但是怎么理解最后的结果中的货币单位呢?


1 个答案
已采纳答案

源_品职助教 · 2018年01月20日

对的,这题就是在当期的范围内进行考虑。

因为套利都是用ZAR/SEK。所以结果就是以一定单位的SEK的交易能产生多少ZAR的收益。

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NO.PZ2016010802000208 问题如下 A aler provis the following quotes:Another aler is quoting the ZAR/SEK cross-rate 1.1210. The arbitrage profit thcearneis closest to: A.Z3671 per million SEK tra B.SEK 4200 per million Ztra C.Z4200 per million SEK tra is correct.The ZAR/SEK cross-rate from the originaler is (1.0218/0.9149) = 1.1168, whiis lower ththe quote from the seconaler. To earn arbitrage profit, a currentrar woulbuy SEK (sell ZAR) from the originaler ansell SEK (buy ZAR) to the seconaler. On 1 million SEK the profit woulbeSEK 1,000,000 × (1.1210 – 1.1168) = Z4200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) = Z4200 怎么没明白,从第一个交叉换汇那个地方就没看懂,可否详细一下呢

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