1. Quoted Ask price:
50.66 NTD/Pound
5.125 NTD/CNY
9.75 CNY/Pound
NTD 10,000/5.125=1951.2195 CNY
1951.2195 CNY/9.75=200.1251 Pound
200.1251*50.33 NTD=10,072.3 NTD
net profit = NTD10,072.3-10,000 = 72.3 NTD
2. 存在套利空間
以1歐元出發 (1 Euro)
Euro/USD=1.2
Euro/Pound=0.8
Pound/USD=1.4
以1歐元買英鎊: 1/0.8=1.25 Pound
再以英鎊買美元: 1.25/1.4≈0.8929 USD
最後以美元換回歐元: 0.8929*1.2≈1.07148 Euro
得淨損益: 1.07148-1=0.07148
3.
(1)
30*(1+5%*90/360)=30.375 ≠ 30.5*(1+3%*90/360)≈30.7288
故有拋補的利率平價說不成立
(2)
30.3*(1+3%*90/360)=30.52725 > 30.375
故選擇以美元存款
HW5