國際金融托馬斯a普格爾第二章-在線瀏覽
2025-03-19 23:14本頁面
【正文】 ound to buy euro first (1163。 =$, or 1$ =163。 bid and ask crossrates is $/163。/$ bid and ask crossrates is 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 = 。 FC1/FC2=。 Is there an arbitrage opportunity? If so, what is the arbitraging strategy? 22 FC1/DC=。 FC1/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 rate is not the same as the future spot rate! 24 ?Trading involving forward exchange rate ? Open position ? Long position ? Short position ? Hedging: offsetting a long (short) position in a foreign currency, or covering the open position ? Speculating: deliberately establishing a position (long or short) in a foreign currency ? Hedging eliminates risk exposure, whereas speculation increases risk exposure 25 ? Some examples: ?A US exporter signs a contract with a French importer for 1 million euro of goods, to be delivered in three months. The current spot rate is €/$=, and the 3months forward rate is €/$= ?The US exporter has an open (long) position of 1 million euro ?If the US exporter also signs a forward contract to sell 1 million euro in three months,
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