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點。
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的報價小于dealer，通過在Interbank買EUR賣DRN，在dealer處賣EUR買DRN，進行套利。
A錯誤，因為存在套利機會；
B描述的是正確的套利流程；
C錯誤，流程和三角套匯相反。
結(jié)論：一貨幣對dealer的買價必須比銀行間市場implied cross rate賣價低，dealer的賣價必須比銀行間市場implied cross rate買價高。否則，就存在三角套利的機會。
Marking To Market Value為遠期合約頭寸按照當前市場價格平倉后，盈利或者虧損的金額。
（1）到期時（t=T），遠期合約約定的執(zhí)行價格是F，和T時刻市場上的真實匯率ST進行比價。對于long方，標的資產(chǎn)（考查貨幣）價格上升，long方賺錢。
（2）到期前（t時刻），盯市的價值是在t時刻結(jié)束合約，賺或虧的金額。
（3）計算
思路：簽訂反響合約合約，計算凈收益。
第1步：t時刻簽訂反向合約平掉原合約頭寸，計算到期（T時刻）賺或虧的金額。
第2步：第1步計算結(jié)果折現(xiàn)回t時刻。
