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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

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
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