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V.

Cotaţii valutare

I. Se cunosc următoarele cotaţii valutare spot pe piaţa FOREX la 19 noiembrie 2012: New York Quotes bid ask GBP/USD 1,5904 1,5906 EUR/GBP 0,8049 0,8052 EUR/USD 1,2804 1,2806 USD/CHF 0,9404 0,9405 USD/CAD 0,9963 0,9965 81,24 USD/JPY 81,22 1. London Quotes Bucharest Quotes bid ask bid ask GBP/USD 1,5908 1,5910 EUR/RON 4,5261 4,5376 EUR/GBP 0,8048 0,8054 USD/RON 3,5512 3,5615 EUR/USD 1,2805 1,2806 CHF/RON 3,7619 3,7722 USD/CHF 0,9402 0,9404 USD/CAD 0,9964 0,9966 81,23 USD/JPY 81,21

Determinaţi existenţa oportunităţilor de arbitraj spaţial.

2. Cât ar trebui să fie cursul EUR/GBP în București, astfel încât o persoană să poată realiza arbitraj cumpărând euro în București și vânzând euro în Londra? 3. Cât ar trebui să fie cursul EUR/USD în București, astfel încât o persoană să nu poată realiza arbitraj cumpărând dolari în Londra și vânzând dolari în București? 4. Care este suma în USD ce poate fi obţinută de către o firmă engleză care deţine 10.000 GBP? 5. Un turist elvețian doreşte să cumpere 1000 RON. De câţi franci elvețieni are nevoie pentru a realiza această tranzacţie? 6. Care este cotaţia GBP/CHF bid-ask pe piaţa americană? Dar cotaţia GBP/RON pe piaţa românească? 7. Un agent economic român a realizat un export de bunuri în Italia în valoare de 10.500 EUR. Acesta dă ordin băncii sale de vânzare a sumei în EUR, dorind să obţină în schimb USD. Să se determine suma în USD pe care o va obţine agentul. 8. Un agent economic american dispune de 50.000 franci elvetieni într-un cont bancar. El are nevoie de dolari canadieni pentru a realiza un import de bunuri din Canada. In acest scop da bancii “Beta” un ordin de vanzare a unei sume in franci elvetieni astfel încat sa încaseze 35.000 dolari canadieni, sumă necesară importului. Determinati: a. suma in CHF pe care trebuie sa o vanda pentru a obtine 35.000 CAD; b. cursul CAD/CHF la care se efectuează tranzacţia. 1

000 USD. Pentru a se proteja la fluctuaţiile cursului de schimb. Ştiind că USD/RON este 3. USD. 2. b) EUR-CHF-USD. 3.5645.9. Să considerăm o firmă românească ce a realizat un export de bunuri în SUA în valoare de 10. Verificați dacă există oportunități de arbitraj triunghiular cu monedele: EUR. Incercați pentru alte monede sa verificati existenta oportunitatilor de arbitraj triunghiular. Verificaţi existenţa oportunităţilor de arbitraj triunghiular pe piaţa americană. suma urmând a fi încasată peste 6 luni. Incercați ambele scheme: a) EUR-USD-CHF. Calculați randamentul. 4.street. firma apelează la o bancă cu care încheie un contract forward. Se cunosc următoarele cotații in timp real furnizate de fx. II.5535/3.com: 1. CHF. rata dobânzii la lei 2 . Discutati in ce conditii ar trebui sa existe oportunitati de arbitraj triunghiular.

În cel de-al treilea an.8/6.3824 și ați vândut la maximul pieţei la ora 10:19. Presupunem că sunteți un trader pe piața valutară care utilizează platforma de tranzacționare furnizată de fxclub. 5.2872/1. Care a fost profitul obținut în urma acestei tranzacții dacă levierul a fost 1:200. spreadul (absolut) pentru rata dobânzii la RON de 2 p. iar ratele de dobândă la euro în zona euro (p. Sunt pozitive sau negative? Euro face prima sau discount in raport cu leul românesc? 6. Determinaţi punctele swap bid/ask pentru EUR/RON afişate pe un orizont de 3 luni. În 17 octombrie 2011 ați cumpărat o sumă în euro cursul 1. ratele de dobândă la lei (p.) sunt 3.a.p.a.25. iar marja a fost 1000 euro? EUR/USD cotații la minut Sursa: www. 1. scadența 3 ani. rata cuponului 4% (cupoanele se plătesc anual). 7. Analizaţi următoarele situaţii. determinați spread-ul procentual al cotației forward la 3 luni.com. şi spread-ul (absolut) pentru rata dobânzii la EUR este de 1 p.p.5376.2877. să se determine care este preţul forward stabilit de bancă. 1 2 3 Nr.com 3 . ştiind că: EUR/RON 4. utilizând „candle-stick graphs”. Ştiind că rata inflaţiei pe perioada de deţinere a obligaţiunilor a avut evoluţia din tabelul de mai jos. Cursul spot EUR/USD în momentul schimbării sumei din USD în EUR este 1.5/8%.fxclub. investitorul doreşte să investească în 200 de acţiuni AXA de la bursa EURONEXT. Un investitor european achiziţionează 10 obligatiuni TIPS (Treasury Inflation Protected Securities). să se determine preţul în EUR la care investitorul a achiziţionat actiunile AXA. ani 2% 1% 3% Rata inflaţiei III.5261 / 4. obligaţiunea se rambursează la scadență.034%. Dacă spread-ul procentual al cotației spot EUR/RON este de 0.) 5. iar valoarea nominală se ajustează ţinând cont de rata inflaţiei.6. având următoarele caracteristici: valoarea nominală 1000 USD. cu suma obţinută din obligatiunile deţinute..8/4. iar rata dobânzii la dolar 3/4%.

iar suma deţinută pentru a realiza tranzacţia 5000 USD. Care a fost rezultatul obținut conform datelor prezentate în graficul de mai jos? Levierul a fost de 1:100.fxclub.47.com 4 . La data de 17 octombrie 2011 cumpărați dolari la ora 10:20 GMT la preţul de deschidere și vindeți la ora 13. Să presupunem că sunteți un trader care tranzacționează intra-day.2. Care ar fi fost rezultatul dacă levierul ar fi fost 1:1? EUR/USD cotaţii la un minut USD/JPY cotaţii la un minut Sursa: www.

often on scheduled dates. and where it is. The purpose of the foreign exchange market is to help international trade and investment. However. where different currencies instruments are traded. dollars. business to import European goods and pay Euros. or FX) trades currencies. followed by the North American session and then back to the Asian session. according to the BIS study. Tokyo.  the variety of factors that affect exchange rates. 5 . the European session begins. and there is very little cross-border regulation. It lets banks and other institutions easily buy and sell currencies. its geographical dispersion. forex. Banks throughout the world participate. budget and trade deficits or surpluses. as the Asian trading session ends.S. the most heavily traded products were:  EURUSD: 28%. Domestic Fisher effect. even though the business's income is in U. large cross-border M&A (Mergers and Acquisitions) deals and other macroeconomic conditions. interest rates (interest rate parity.S. so many people have access to the same news at the same time.     There is no unified or centrally cleared market for the majority of FX trades. otherwise they could be exploited by arbitrageurs instantaneously. A foreign exchange market helps businesses convert one currency to another. there are rather a number of interconnected marketplaces. excluding weekends.Caseta V. The foreign exchange market is unique because of: its trading volumes. The main trading center is London. Fluctuations in exchange rates are usually caused by actual monetary flows as well as by expectations of changes in monetary flows caused by changes in gross domestic product (GDP) growth. For example. Currency trading happens continuously throughout the day. International Fisher effect). Major news is released publicly. This implies that there is not a single exchange rate but rather a number of different rates (prices). but New York. depending on what bank or market maker is trading. they can see their customers' order flow. it permits a U. inflation (purchasing power parity theory). Hong Kong and Singapore are all important centers as well. On the spot market.1 FOREX MARKET The foreign exchange market (currency. the extreme liquidity of the market. In practice the rates are often very close. its long trading hours: 24 hours a day except on weekends (from 22:00 UTC on Sunday until 22:00 UTC Friday). Due to the over-the-counter (OTC) nature of currency markets. the large banks have an important advantage.  the low margins of profit compared with other markets of fixed income (but profits can be high due to very large trading volumes)  the use of leverage.

9% 39.3% 0. By 1996 on-line retail forex trading became practical. it is common to have 100:1 leverage in currencies. all positions will eventually be closed. require you to have a certain amount of money in your account to protect against a critical loss point. crucially.000 to control the position. In the typical 100:1 scenario.2% 200% 6 .0%).3% 1.3% 2.These companies also created retail forex platform that provided a quick way for individuals to buy and sell on the forex spot market.4% 2. However. Internet-based market makers would take the opposite side of retail trader’s trades. larger retail traders could trade FX contracts at the Chicago Mercantile Exchange. For example. While forex has been traded since the beginning of financial markets.1% 19.  USDJPY: 14%. forex market makers typically employ automatic  New Zealand dollar NZD ($)  South Korean won  Singapore dollar  Norwegian krone  Mexican peso  Indian rupee KRW (₩) SGD ($) NOK (kr) MXN ($) INR ( ) Other Total[15] 12. and sterling (12. In order to make sure the trader does not lose more money than is held in the account. In online currency exchange. typically do not allow their traders to go negative and make up the difference at a later date. mindful of the fast nature of forex price swings and the amplifying effect of leverage. few or no transactions actually lead to physical delivery to the client. the trader has to put up $1.6% 1. While up to 4:1 leverage is available in equities and 20:1 in Futures. the yen (19.1%). but also.9% High Leverage The idea of margin (leverage) and floating loss is another important trading concept and is perhaps best understood using an example.5% 1.000 position is held in EUR/USD on 100:1 leverage. The market makers offer high amounts of leverage. on-line retail trading has only been active since about 1996. as each transaction involves two currencies. in the event of a declining value of your positions.9% of transactions.4% 5. GBPUSD (also called cable): 9%.9% 7. the client absorbs all risks associated with controlling a position worth 100 times his capital.2% 1.9%) (see table).0% 12. followed by the euro (39. Rank 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Currency  United States dollar  Euro  Japanese yen  Pound sterling  Australian dollar  Swiss franc  Canadian dollar  Hong Kong dollar  Swedish krona ISO 4217 code (Symbol) USD ($) EUR (€) JPY (¥) GBP (£) AUD ($) CHF (Fr) CAD ($) HKD ($) SEK (kr) % daily share (April 2010) 84.4% 1. if a $100. Most retail Forex market makers permit 100:1 leverage. Forex market makers. From the 1970s. Volume percentages for all individual currencies should add up to 200%. and the US currency was involved in 84.6% 6.

large hedge funds.000 units of the base currency. or the spread. A pip is 1/100th of a cent (or whatever). a pip is not always $10. The levels of access that make up the foreign exchange market are determined by the size of the "line" (the amount of money with which they are trading). with $1. For the pair EUR/USD. Sell EUR/USD 1. thus giving up the difference. then 1/100th of a cent is now worth around $9. they can demand a smaller difference between the bid and ask price. since the early 2000s. the quote currency is USD. the actual price level may also change during the interval between buying and selling. “Hedge funds have grown markedly over the 2001–2004 period in terms of both number and overall size”. and he is buying a $100. which is made up of the largest commercial banks and securities dealers. the foreign exchange market is divided into levels of access. In a common example. They take part or all of the spread in all currency pairs traded.e.” (2004) In addition. which is referred to as a better spread. on the other hand.. If. The top tier interbank market accounts for 53% of all transactions. mutual funds. From there.000 of whatever in Swiss francs. Buy EUR/USD 1. and the currency pairs are always purchased by buying 100. because you are buying 100.000 of the base currency. followed by large multinational corporations (which need to hedge risk and pay employees in different countries). That difference of 3 pips is the spread and can amount to a significant amount of money. as the cost of the transaction. Central banks also participate in the foreign exchange market to align currencies to their economic needs. thus. are razor sharp and not known to players outside the inner circle. insurance companies. the spread is typically 3 pips (percentage in point) or 3/100 of a cent in this example. which are the difference between the bid and ask prices. Within the inter-bank market. and even some of the retail FX market makers. smaller banks. those 3 pips on EUR/USD translate to $30 paid by the client to the market maker. and other institutional investors have played an increasingly important role in financial markets in general. he notes. he has $1. At the top is the inter-bank market. “Pension funds. and sell at the lower "bid" price.000 left to allow his position to fluctuate downward without being closed out.000 tied up in margin.000 lot of EUR/USD.g. Of course. 1/100th of a cent on a pair with USD as the quote currency will always have a pip of $10. Transaction Costs and Market Makers Market makers are compensated for allowing clients to enter the market. If the trader has $2.systems to close out positions when clients run out of margin (the amount of money in their account not tied to a position). spreads. Market participant Unlike a stock market. "ask") prices (e. your currency pair has Swiss francs (CHF) as a quote instead of USD. 7 .4900). This is due to volume. EUR/USD.000 in his account.4903. However. and in FX markets in particular. According to Galati and Melvin. Traders buy at the higher "offer" or "ask" price.000 of his $2. Because the typical standard lot is 100. Thus prices are quoted with both bid and offer (i. The difference between the bid and ask prices widens (for example from 0-1 pip to 1-2 pips for a currencies such as the EUR) as you go down the levels of access. If a trader can guarantee large numbers of transactions for large amounts.