金融英语例题讲解:三角套利 Triangular Arbitrage

Assume that a bank has quoted the British pound (£) at $1.60, the Malaysian ringgit (MYR) at $.20, and the cross exchange rate at £1 = MYR8.1. Your first task is to use the pound value in U.S. dollars and Malaysian ringgit value in U.S. dollars to develop the cross exchange rate that should exist between the pound and the Malaysian ringgit. The cross rate formula in the previous example reveals that the pound should be worth MYR8.0. 

假设一家银行对英镑(£)的报价为: USD/ £ = 1.60,对马来西亚林吉特(MYR)的报价为: USD / MYR = 0.20。交叉汇率为: MYR / £ =8.1。您的第一个任务是使用美元中的英镑价值和美元中的马来西亚林吉特价值来计算英镑和马来西亚林吉特之间应该存在的交叉汇率。前一个例子中的交叉汇率公式显示1英镑应该值8.0MYR。

解析:上面标红色这段话是解题的关键,从正常的市场报价USD/ £ = 1.60和USD / MYR = 0.20我们可以计算算MYR / £的隐含汇率,这个蕴含汇率是不同于题目给出的交叉汇率cross exchange rate at £1 = MYR8.1

前一个例子中的交叉汇率公式显示1英镑应该值8.0MYR,  这个是这样计算出来的:(1)USD/ £ = 1.60;(2)USD / MYR = 0.20,用(2)/ (1)得到隐含汇率MYR / £ = 8=1.60/0.2, 也就是说1 £= MYR8.1

总结第一步:计算隐含交叉汇率!

继续看题目:

When quoting a cross exchange rate of £1 = MYR8.1, the bank is exchanging too many ringgit for a pound and is asking for too many ringgit in exchange for a pound. Based on this information, you can engage in triangular arbitrage by purchasing pounds with dollars, converting the pounds to ringgit, and then exchanging the ringgit for dollars. If you have $10,000, how many dollars will you end up with if you implement this triangular arbitrage strategy? To answer the question, consider the following steps illustrated in Exhibit 7.3: 

当引用1英镑= 8.1林吉特的交叉汇率时,银行将过多的林吉特兑换为一英镑,并要求过多的林吉特兑换为一英镑。根据这些信息,您可以进行三角套利,用美元购买英镑,将英镑兑换成林吉特,然后将林吉特兑换成美元。如果你有1万美元,你最终会得到多少美元如果你采用这个三角套利策略?要回答这个问题,请考虑以下步骤,如表7.3所示: 

金融英语例题讲解:三角套利 Triangular Arbitrage

解析:第二个步骤是中间货币USD兑换成高估值货币英镑,因为实际报价£1 = MYR8.1高于蕴含价格£1 = MYR8.0,如何实际价格是£1 = MYR7.9,则应该USD先兑换成MYR。

解题过程:

1. Determine the number of pounds received for your dollars: $10,000 = £6,250, based on the bank’s quote of $1.60 per pound. 

根据银行给出的每磅等于1.60美元的报价,确定你的美元能兑换多少英镑:1万美元=10000/1.60 =6250英镑。

2. Determine how many ringgit you will receive in exchange for pounds: £6,250 = MYR50,625, based on the bank’s quote of 8.1 ringgit per pound. 

根据银行给出的每磅等于8.1林吉特的报价,确定你可以兑换多少林吉特: 6250英镑= 50625林吉特=6250*8.1

3. Determine how many U.S. dollars you will receive in exchange for the ringgit: MYR50,625 = $10,125 based on the bank’s quote of $.20 per ringgit (5 ringgit to the dollar). The triangular arbitrage strategy generates $10,125, which is $125 more than you started with. 

确定你将获得多少美元兑换林吉特:50,625MYR= 10,125美元=50625*0.2,根据银行的报价。1林吉特等于0.2美元。三角套利策略产生10125美元,比开始时多125美元。

总结步骤:

  1. 根据中间货币计算另外两个货币的蕴含交叉汇率

  2. 比较实际报价交叉货币和蕴含报价的交叉货币,确定哪个币种被高估

  3. 中间货币兑换成高估货币开始三角套利

  4. 计算三角套利利润

  5. 核对计算结果

via 财经英语