答案和详解如下： Q4. Suppose the AUD trades for USD0.735802 in New York and JPY79.3048 in Tokyo. The USD trades for JPY109.2343 in Tokyo. Is there an arbitrage opportunity available for a currency trader? A) No, there is no arbitrage opportunity. B) Yes, the trader can make USD0.0872 per USD invested. C) Yes, the trader can make USD0.0135 per USD invested. Correct answer is C) If the U.S. trader converts USD1 for JPY109.2343, the JPY109.2343 can be converted to AUD1.3774 (109.2343/79.3048). The AUD1.3774 can then be converted to USD1.0135 (1.3774 × 0.735802). Therefore, the profit per USD invested is 0.0135. Q5. Suppose the GBP trades for CHF2.20279 in Zurich and USD1.62699 in London. The USD trades for CHF1.2755 in Zurich. Is there an arbitrage opportunity available for a currency trader? A) No, there is no arbitrage opportunity. B) Yes, the trader can make USD0.0930 per USD invested. C) Yes, the trader can make USD0.06147 per USD invested. Correct answer is C) If the U.S. trader buys 1 GBP for $1.62699, that GBP can be converted to CHF 2.20279. The CHF 2.20279 can then be converted to 2.20279 × 1/1.2755 = USD 1.72700. The total profit is 1.727000 − 1.62699 = USD.10001. The profit per USD invested is 0.10001/1.62699 = 0.06147. Q6. Given the following quotes, what must the Euro indirect quote (USD/EUR) be in order to prevent arbitrage opportunities? CAD/USD = 1.3045
CAD/EUR = 1.58588 A) 0.1774. B) 1.2157. C) 0.8226. Correct answer is B) Recall that for a no arbitrage opportunity to exist the following relationship must hold: (FC1/DC) × (DC/FC2) × (FC2/FC1) = 1 If the USD = FC1 and CAD = FC2, then we must first invert CAD/EUR = 1.58588 to arrive at EUR/CAD = 0.630564. Next we solve for: (FC1/DC) × 0.630564 × 1.3045 = 1
(FC1/DC) = [1/(0.630564 × 1.3045)] = 1.2157 Of course, the easiest way to answer this question is to divide CAD/EUR = 1.58588 by CAD/USD = 1.3045 which is equal to USD/EUR or 1.2157. | 
发表于 2009-1-13 11:41
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