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Cotaii valutare

I. Se cunosc urmtoarele cotaii valutare spot pe piaa 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

Determinai existena oportunitilor de arbitraj spaial.

2. Ct ar trebui s fie cursul EUR/GBP n Bucureti, astfel nct o persoan s poat realiza arbitraj cumprnd euro n Bucureti i vnznd euro n Londra? 3. Ct ar trebui s fie cursul EUR/USD n Bucureti, astfel nct o persoan s nu poat realiza arbitraj cumprnd dolari n Londra i vnznd dolari n Bucureti? 4. Care este suma n USD ce poate fi obinut de ctre o firm englez care deine 10.000 GBP? 5. Un turist elveian dorete s cumpere 1000 RON. De ci franci elveieni are nevoie pentru a realiza aceast tranzacie? 6. Care este cotaia GBP/CHF bid-ask pe piaa american? Dar cotaia GBP/RON pe piaa romneasc? 7. Un agent economic romn a realizat un export de bunuri n Italia n valoare de 10.500 EUR. Acesta d ordin bncii sale de vnzare a sumei n EUR, dorind s obin n schimb USD. S se determine suma n USD pe care o va obine agentul. 8. Un agent economic american dispune de 50.000 franci elvetieni ntr-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 ncat sa ncaseze 35.000 dolari canadieni, sum necesar 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 efectueaz tranzacia. 1

9. Verificai existena oportunitilor de arbitraj triunghiular pe piaa american. II. Se cunosc urmtoarele cotaii in timp real furnizate de

1. Verificai dac exist oportuniti de arbitraj triunghiular cu monedele: EUR, USD, CHF. Incercai ambele scheme: a) EUR-USD-CHF, b) EUR-CHF-USD. Calculai randamentul. 2. 3. Incercai pentru alte monede sa verificati existenta oportunitatilor de arbitraj triunghiular. Discutati in ce conditii ar trebui sa existe oportunitati de arbitraj triunghiular.

4. S considerm o firm romneasc ce a realizat un export de bunuri n SUA n valoare de 10.000 USD, suma urmnd a fi ncasat peste 6 luni. Pentru a se proteja la fluctuaiile cursului de schimb, firma apeleaz la o banc cu care ncheie un contract forward. tiind c USD/RON este 3,5535/3,5645, rata dobnzii la lei 2

5/8%, iar rata dobnzii la dolar 3/4%, s se determine care este preul forward stabilit de banc. 5. Determinai punctele swap bid/ask pentru EUR/RON afiate pe un orizont de 3 luni, tiind c: EUR/RON 4,5261 / 4,5376, ratele de dobnd la lei (p.a.) 5,8/6,25, iar ratele de dobnd la euro n zona euro (p.a.) sunt 3,8/4,6. Sunt pozitive sau negative? Euro face prima sau discount in raport cu leul romnesc? 6. Dac spread-ul procentual al cotaiei spot EUR/RON este de 0,034%, spreadul (absolut) pentru rata dobnzii la RON de 2 p.p. i spread-ul (absolut) pentru rata dobnzii la EUR este de 1 p.p., determinai spread-ul procentual al cotaiei forward la 3 luni. 7. Un investitor european achiziioneaz 10 obligatiuni TIPS (Treasury Inflation Protected Securities), avnd urmtoarele caracteristici: valoarea nominal 1000 USD, rata cuponului 4% (cupoanele se pltesc anual), scadena 3 ani, obligaiunea se ramburseaz la scaden, iar valoarea nominal se ajusteaz innd cont de rata inflaiei. n cel de-al treilea an, cu suma obinut din obligatiunile deinute, investitorul dorete s investeasc n 200 de aciuni AXA de la bursa EURONEXT. Cursul spot EUR/USD n momentul schimbrii sumei din USD n EUR este 1,2872/1,2877. tiind c rata inflaiei pe perioada de deinere a obligaiunilor a avut evoluia din tabelul de mai jos, s se determine preul n EUR la care investitorul a achiziionat actiunile AXA. 1 2 3 Nr. ani 2% 1% 3% Rata inflaiei

III. Analizai urmtoarele situaii, utiliznd candle-stick graphs. 1. Presupunem c suntei un trader pe piaa valutar care utilizeaz platforma de tranzacionare furnizat de n 17 octombrie 2011 ai cumprat o sum n euro cursul 1,3824 i ai vndut la maximul pieei la ora 10:19. Care a fost profitul obinut n urma acestei tranzacii dac levierul a fost 1:200, iar marja a fost 1000 euro? EUR/USD cotaii la minut


2. S presupunem c suntei un trader care tranzacioneaz intra-day. La data de 17 octombrie 2011 cumprai dolari la ora 10:20 GMT la preul de deschidere i vindei la ora 13.47. Care a fost rezultatul obinut conform datelor prezentate n graficul de mai jos? Levierul a fost de 1:100, iar suma deinut pentru a realiza tranzacia 5000 USD. Care ar fi fost rezultatul dac levierul ar fi fost 1:1? EUR/USD cotaii la un minut USD/JPY cotaii la un minut



The foreign exchange market (currency, forex, or FX) trades currencies. It lets banks and other institutions easily buy and sell currencies. The purpose of the foreign exchange market is to help international trade and investment. A foreign exchange market helps businesses convert one currency to another. For example, it permits a U.S. business to import European goods and pay Euros, even though the business's income is in U.S. dollars. The foreign exchange market is unique because of:

its trading volumes, the extreme liquidity of the market, its geographical dispersion, its long trading hours: 24 hours a day except on weekends (from 22:00 UTC on Sunday until 22:00 UTC Friday), the variety of factors that affect exchange rates. 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.

There is no unified or centrally cleared market for the majority of FX trades, and there is very little cross-border regulation. Due to the over-the-counter (OTC) nature of currency markets, there are rather a number of interconnected marketplaces, where different currencies instruments are traded. This implies that there is not a single exchange rate but rather a number of different rates (prices), depending on what bank or market maker is trading, and where it is. In practice the rates are often very close, otherwise they could be exploited by arbitrageurs instantaneously. The main trading center is London, but New York, Tokyo, Hong Kong and Singapore are all important centers as well. Banks throughout the world participate. Currency trading happens continuously throughout the day; as the Asian trading session ends, the European session begins, followed by the North American session and then back to the Asian session, excluding weekends. 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, inflation (purchasing power parity theory), interest rates (interest rate parity, Domestic Fisher effect, International Fisher effect), budget and trade deficits or surpluses, large cross-border M&A (Mergers and Acquisitions) deals and other macroeconomic conditions. Major news is released publicly, often on scheduled dates, so many people have access to the same news at the same time. However, the large banks have an important advantage; they can see their customers' order flow. On the spot market, according to the BIS study, the most heavily traded products were:

EURUSD: 28%; 5

USDJPY: 14%; GBPUSD (also called cable): 9%.

and the US currency was involved in 84.9% of transactions, followed by the euro (39.1%), the yen (19.0%), and sterling (12.9%) (see table). Volume percentages for all individual currencies should add up to 200%, as each transaction involves two currencies. While forex has been traded since the beginning of financial markets, on-line retail trading has only been active since about 1996. From the 1970s, larger retail traders could trade FX contracts at the Chicago Mercantile Exchange. By 1996 on-line retail forex trading became practical. Internet-based market makers would take the opposite side of retail traders trades.These companies also created retail forex platform that provided a quick way for individuals to buy and sell on the forex spot market. In online currency exchange, few or no transactions actually lead to physical delivery to the client; all positions will eventually be closed. The market makers offer high amounts of leverage. While up to 4:1 leverage is available in equities and 20:1 in Futures, it is common to have 100:1 leverage in currencies. In the typical 100:1 scenario, the client absorbs all risks associated with controlling a position worth 100 times his capital.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

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)

84.9% 39.1% 19.0% 12.9% 7.6% 6.4% 5.3% 2.4% 2.2% 1.6% 1.5% 1.4% 1.3% 1.3% 0.9%

High Leverage The idea of margin (leverage) and floating loss is another important trading concept and is perhaps best understood using an example. Most retail Forex market makers permit 100:1 leverage, but also, crucially, require you to have a certain amount of money in your account to protect against a critical loss point. For example, if a $100,000 position is held in EUR/USD on 100:1 leverage, the trader has to put up $1,000 to control the position. However, in the event of a declining value of your positions, Forex market makers, mindful of the fast nature of forex price swings and the amplifying effect of leverage, typically do not allow their traders to go negative and make up the difference at a later date. In order to make sure the trader does not lose more money than is held in the account, 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]

12.2% 200%

systems to close out positions when clients run out of margin (the amount of money in their account not tied to a position). If the trader has $2,000 in his account, and he is buying a $100,000 lot of EUR/USD, he has $1,000 of his $2,000 tied up in margin, with $1,000 left to allow his position to fluctuate downward without being closed out. Market participant Unlike a stock market, the foreign exchange market is divided into levels of access. At the top is the inter-bank market, which is made up of the largest commercial banks and securities dealers. Within the inter-bank market, spreads, which are the difference between the bid and ask prices, are razor sharp and not known to players outside the inner circle. 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. This is due to volume. If a trader can guarantee large numbers of transactions for large amounts, they can demand a smaller difference between the bid and ask price, which is referred to as a better spread. 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). The top tier interbank market accounts for 53% of all transactions. From there, smaller banks, followed by large multinational corporations (which need to hedge risk and pay employees in different countries), large hedge funds, and even some of the retail FX market makers. According to Galati and Melvin, Pension funds, insurance companies, mutual funds, and other institutional investors have played an increasingly important role in financial markets in general, and in FX markets in particular, since the early 2000s. (2004) In addition, he notes, Hedge funds have grown markedly over the 20012004 period in terms of both number and overall size. Central banks also participate in the foreign exchange market to align currencies to their economic needs. Transaction Costs and Market Makers Market makers are compensated for allowing clients to enter the market. They take part or all of the spread in all currency pairs traded. In a common example, EUR/USD, the spread is typically 3 pips (percentage in point) or 3/100 of a cent in this example. Thus prices are quoted with both bid and offer (i.e. "ask") prices (e.g., Buy EUR/USD 1.4903, Sell EUR/USD 1.4900). Traders buy at the higher "offer" or "ask" price, and sell at the lower "bid" price, thus giving up the difference, or the spread, as the cost of the transaction. Of course, the actual price level may also change during the interval between buying and selling. That difference of 3 pips is the spread and can amount to a significant amount of money. Because the typical standard lot is 100,000 units of the base currency, those 3 pips on EUR/USD translate to $30 paid by the client to the market maker. However, a pip is not always $10. A pip is 1/100th of a cent (or whatever), and the currency pairs are always purchased by buying 100,000 of the base currency. For the pair EUR/USD, the quote currency is USD; thus, 1/100th of a cent on a pair with USD as the quote currency will always have a pip of $10. If, on the other hand, your currency pair has Swiss francs (CHF) as a quote instead of USD, then 1/100th of a cent is now worth around $9, because you are buying 100,000 of whatever in Swiss francs.