國際金融托馬斯a普格爾第二章(編輯修改稿)
2025-03-05 23:14 本頁面
【文章內(nèi)容簡介】 o dollar: using pound to buy euro first (1163。 =€), and then using the euro to buy dollar (1€= $). The resulting crossrate is 1163。 =$, or 1$ =163。. So, the effective $/163。 bid and ask crossrates is $/163。=, and the effective 163。/$ bid and ask crossrates is 163。/$=18 $/€: €/163。: ? Arbitrage ?“Pay nothing for something,” or “get something for noting” ?“there is not such thing as a free lunch” ?Any deviation from “the law of one price” will present an arbitraging opportunity! ? Basic strategy: “buy low, sell high”! ?An arbitraging strategy is riskfree. In contrast, a speculative strategy is always associated with some degree of risk 19 ? Bilateral arbitrage with bidask spreads ?Noarbitrage condition: (FC/DC)bid*(DC/FC)bid ≤ 1, or (FC/DC)ask*(DC/FC)ask ≥1, ?Example : DC/FC = , FC/DC = 。 Is there an arbitrage opportunity? If so, what is the arbitraging strategy? What about DC/FC = , and FC/DC = ?When the rates are misquoted, the direct bid (ask) of one currency is not the reciprocal of its indirect ask (bid). 20 ? DC/FC = , FC/DC = FC/DC= FC buy 1 unit DC, sell DC, receive FC ? DC/FC= , FC/DC= FC/DC= FC buy 1 unit DC, sell DC, receive FC ? Triangular arbitrage with bidask spreads ?Noarbitrage condition: the implied crossrate is consistent with the actual crossrate ?Example : FC1/DC=。 FC1/FC2=。 DC/FC2=。 Is there an arbitrage opportunity? If so, what is the arbitraging strategy? 22 FC1/DC=。 FC1/DC=。 FC1/FC2=。 DC/FC2=DC/FC2=。 FC2/FC1=(FC1/DC)bid*(DC/FC2 )bid* (FC2/FC1 )bid 1 (FC1/DC)ask*(DC/FC2 )ask* (FC2/FC1 )ask 1 Use FC1 buy 1 unit DC, Sell DC, receive 1/ FC2 Sell FC2, receive ? Forward foreign exchange rate ?A forward forex contract is an agreement to exchange one currency for another on a specified date in the future at a rate set now (the forward exchange rate) ?A spot rate is the prevailing rate in the market ?The forward
教學(xué)課件相關(guān)推薦
鄂ICP備17016276號-1