交易货币是CHF还是BRL?

问题如下：

2. Based on Exhibit 2, the most appropriate recommendation regarding the triangular arbitrage trade is to:

选项：

decline the trade, no arbitrage profits are possible.

execute the trade, buy BRL in the interbank market and sell it to the dealer.

execute the trade, buy BRL from the dealer and sell it in the interbank market.

解释：

B is correct.

The dealer is posting an offer rate to buy BRL at a price that is too high. This overpricing is determined by calculating the interbank implied cross rate for the CHF/BRL using the intuitive equation-based approach:

$CHF/BRL=CHF/USD\times{(BRL/USD)}^{-1}$, or

$CHF/BRL=CHF/USD\times{(USD/BRL)}$

Inverting the BRL/USD given quotes in Exhibit 2 determines the USD/BRL bid/offer rates of 0.56205/0.56211 (The bid of 0.56205 is the inverse of the BRL/USD offer, calculated as 1/1.7792; the offer of 0.56211 is the inverse of the BRL/USD bid, calculated as 1/1.7790). Multiplying the CHF/USD and USD/BRL bid/offer rates then leads to the interbank implied CHF/BRL cross rate of:

Bid: 0.9099 × 0.56205 = 0.5114

Offer: 0.9101 × 0.56211 = 0.5116

Since the dealer is willing to buy BRL at 0.5161 but BRL can be purchased from the interbank market at 0.5116, so there is an arbitrage opportunity to buy BRL in the interbank market and sell them to the dealer for a profit of 0.0045CHF (0.5161 – 0.5116) per BRL transacted.

考点：三角套汇的经典考法，考的是其中的第一步和第二步.

解析 ： 第一步先判断有没有套利机会 ， 也就是比较dealer 和 interbank相同币种的报价 。 这道题我们对比的是CHF以及BRL这两种货币的报价。

通过表二，运用交叉汇率，

$CHF/BRL=CHF/USD\times{(BRL/USD)}^{-1}$, 或者 $CHF/BRL=CHF/USD\times{(USD/BRL)}$，我们可以求得interbank市场上的买价和卖价，它们分别是：

Bid: 0.9099 × 0.56205 = 0.5114

Offer: 0.9101 × 0.56211 = 0.5116

观察到，dealer的报价是 0.5161/0.5163 高于interbank的报价，那么投资者就可以以 0.5116CHF/BRL的价格买入BRL，再以0.5161CHF/BRL的价格卖出BRL，从而实现0.0045CHF (0.5161 – 0.5116) 的套利利润。