EJEMPLOS DE EJERCICIOS
ARBITRAJE DE LOCALIZACIÓN:
Assume the bid rate of a New Zealand dollar is $0.33 while the ask rate is $0.335
at Bank X. Assume the bid rate of the New Zealand dollar is $0.32 while the ask
rate is $0.325 at Bank Y. Given this information, what would be your gain if you use
$1,000,000 and execute locational arbitrage? That is, how much will you end up
with over and above the $1,000,000 you started with?
A) $15,385.
B) $15,625.
C) $22,136.
D) $31,250.
ANSWER: A
SOLUTION: $1,000,000/$0.325 = NZ$3,076,923 × $0.33 = $1,015,385. Thus, the
profit is $15,385.
Assume the bid rate of a Singapore dollar is $0.40 while the ask rate is $0.41 at
Bank X. Assume the bid rate of a Singapore dollar is $0.42 while the ask rate is
$0.425 at Bank Z. Given this information, what would be your gain if you use
$1,000,000 and execute locational arbitrage? That is, how much will you end up
with over and above the $1,000,000 you started with?
A) $11,764.
B) –$11,964.
C) $36,585.
D) $24,390.
E) $18,219.
ANSWER: D
SOLUTION: $1,000,000/$0.41 = S2,439,024 × $0.42 = $1,024,390
ARBITRAJE TRIANGULAR:
National Bank quotes the following for the British pound and the New Zealand
dollar:
Quoted Bid Price Quoted Ask Price
Value of a British pound (£) in $ $1.61 $1.62
Value of a New Zealand dollar (NZ$) in $ $0.55 $0.56
Value of a British pound in
New Zealand dollars NZ$2.95 NZ$2.96
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Assume you have $10,000 to conduct triangular arbitrage. What is your profit from
implementing this strategy?
A) $77.64.
B) $197.53.
C) $15.43.
D) $111.80.
ANSWER: C
SOLUTION: $10,000/$1.62 = £6,172.84 × 2.95 = NZ$18,209.88 × $.55 =
$10,015.43. Thus, the profit is $15.43.
ARBITRAJE DE INTERES CUBIERTO:
Assume the following information:
You have $1,000,000 to invest
Current spot rate of pound = $1.30
90-day forward rate of pound = $1.28
3-month deposit rate in U.S. = 3%
3-month deposit rate in Great Britain = 4%
If you use covered interest arbitrage for a 90-day investment, what will be the
amount of U.S. dollars you will have after 90 days?
A) $1,024,000.
B) $1,030,000.
C) $1,040,000.
D) $1,034,000.
E) none of these.
ANSWER: A
SOLUTION: $1,000,000/$1.30 = 769,231 pounds × (1.04) = 800,000 pounds ×
1.28 = $1,024,000
Assume the following information:
Current spot rate of New Zealand dollar = $0.41
Forecasted spot rate of New Zealand dollar 1 year from now = $0.43
One-year forward rate of the New Zealand dollar = $0.42
Annual interest rate on New Zealand dollars = 8%
Annual interest rate on U.S. dollars = 9%
Given the information in this question, the return from covered interest arbitrage by
U.S. investors with $500,000 to invest is about _______%.
A) 11.97
B) 9.63
C) 11.12
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D) 11.64
E) 10.63
ANSWER: E
SOLUTION: $500,000/$0.41 = NZ$1,219,512 × (1.08) = NZ$1,317,073 × $0.42 =
$553,171. Yield = ($553,171 – $500,000)/$500,000 = 10.63%.
