IV.

Cotaii valutare

I. Se cunosc urmtoarele cotaii valutare spot pe piaa FOREX la 11 noiembrie

2014:
New York Quotes
bid
ask
GBP/USD 1,5864 1,5866
EUR/GBP 0,7825 0,7828
EUR/USD 1,2414 1,2416
USD/CHF 0,9684 0,9685
CAD/USD 0,8778 0,8780
USD/JPY 115,92 115,94
1.

London Quotes
Bucharest Quotes
bid
ask
bid
ask
GBP/USD 1,5868 1,5870 EUR/RON 4,4269 4,4376
EUR/GBP 0,7826 0,7833 USD/RON 3,5672 3,5715
EUR/USD 1,2415 1,2416 CHF/RON 3,6836 3,6922
USD/CHF 0,9682 0,9684
CAD/USD 0,8779 0,8782
USD/JPY 115,91 115,93

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 fxstreet.com:

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.

Incercai pentru alte monede sa verificati existenta oportunitatilor de arbitraj triunghiular.

3.

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
2

proteja la fluctuaiile cursului de schimb, firma apeleaz la o banc cu care ncheie

un contract forward. tiind c USD/RON este 3,5672/3,5715, rata dobnzii la lei pe
6 luni 3/3,5% (p. anuale), iar rata dobnzii la dolar pe 6 luni 2/2,5% (p.anuale), 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 4,4269 / 4,4376, ratele de dobnd la lei (p.a.) 3,3/3,75, iar
ratele de dobnd la euro n zona euro (p.a.) sunt 2,1/2,5. 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 fxclub.com. 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

EUR/USD cotaii la minut

1000 euro?

Sursa: www.fxclub.com

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

Sursa: www.fxclub.com

Caseta IV.1 FOREX MARKET

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%;
USDJPY: 14%;

GBPUSD (also called cable): 9%.

and the US currency was involved in 87% of transactions, followed by the euro (33.4%), the
yen (23.0%), and sterling (11.8%) (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.
Rank

Currency

ISO 4217
code
(Symbol)

% daily
share
(April 2013)

High Leverage

The idea of margin (leverage) and

floating loss is another important
trading concept and is perhaps
2
EUR ()
33.4%
Euro
best
understood
using
an
example.
Most
retail
Forex
3
JPY ()
23.0%
Japanese yen
market makers permit 100:1
4
Pound sterling
GBP ()
11.8%
leverage, but also, crucially,
5
Australian dollar
AUD ($)
8.6% require you to have a certain
amoun
t of money in your
6
CHF
(Fr)
5.2%
Swiss franc
account to protect against a
7
Canadian dollar
CAD ($)
4.6% critical loss point. For example, if
a $100,000 position is held in
8
MXN (c)
2.5% EUR/USD on 100:1 leverage, the
Mexican peso
9
CNY (vr)
2.2% trader has to put up $1,000 to
Chinese yuan
control the position. However, in
10
New Zealand dollar NZD ($)
2.0% the event of a declining value of
positions, Forex market
11
SEK (kr)
1.8% your
Swedish krona
makers, mindful of the fast
12
RUB
1.6% nature of forex price swings and
Russian ruble
the amplifying effect of leverage,
13
HKD($)
1.4%
Hong Kong dollar
typically do not allow their
14
SGD ($)
1.4% traders to go negative and make
Singapore dollar
up the difference at a later date.
15
TRY( )
1.3%
Turkish Lira
In order to make sure the trader
Other
12.2% does not lose more money than is
held in the account, forex market
Total[15]
200%
makers
typically
employ
automatic 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
1

United States
dollar

USD ($)

87.0%

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.