In examining the currency markets, Birol is concerned that local currency dealers are being taken advantage of by arbitrageurs from Europe. He analyzes the rate quotes in Exhibit 2 for evidence of triangular arbitrage and carry trade opportunities by European hedge funds attempting to exploit the DNR currency.

Exhibit 2 Interbank and Dealer Currency Quotes and Rates

Based on the exchange rate quotes in Exhibit 2, an opportunistic European hedge fund interested in triangular arbitrage between the dealer and interbank markets is most likely to:

A. discover that no triangular arbitrage opportunity exists.

B. buy EUR in the interbank market and sell EUR to the Daltonian dealer.

C. buy EUR from the Daltonian dealer and sell EUR in the interbank market.

【答案】B

【解析】該題考查三角套匯的知識(shí)點(diǎn)。

Bid: 1.205(DRN/USD) ×（1/0.8065） (USD/EUR) = 1.4942 (DRN/EUR)

Offer: 1.210 (DRN/USD) ×（1/0.8045）(USD/EUR) = 1.504 (DNR/EUR)

Interbank的報(bào)價(jià)小于dealer，通過(guò)在Interbank買EUR賣DRN，在dealer處賣EUR買DRN，進(jìn)行套利。


A錯(cuò)誤，因?yàn)榇嬖谔桌麢C(jī)會(huì)；

B描述的是正確的套利流程；

C錯(cuò)誤，流程和三角套匯相反。

結(jié)論：一貨幣對(duì)dealer的買價(jià)必須比銀行間市場(chǎng)implied cross rate賣價(jià)低，dealer的賣價(jià)必須比銀行間市場(chǎng)implied cross rate買價(jià)高。否則，就存在三角套利的機(jī)會(huì)。

Marking To Market Value為遠(yuǎn)期合約頭寸按照當(dāng)前市場(chǎng)價(jià)格平倉(cāng)后，盈利或者虧損的金額。

（1）到期時(shí)（t=T），遠(yuǎn)期合約約定的執(zhí)行價(jià)格是F，和T時(shí)刻市場(chǎng)上的真實(shí)匯率ST進(jìn)行比價(jià)。對(duì)于long方，標(biāo)的資產(chǎn)（考查貨幣）價(jià)格上升，long方賺錢。

（2）到期前（t時(shí)刻），盯市的價(jià)值是在t時(shí)刻結(jié)束合約，賺或虧的金額。

（3）計(jì)算

思路：簽訂反響合約合約，計(jì)算凈收益。

第1步：t時(shí)刻簽訂反向合約平掉原合約頭寸，計(jì)算到期（T時(shí)刻）賺或虧的金額。

第2步：第1步計(jì)算結(jié)果折現(xiàn)回t時(shí)刻。