2- Nghip v kinh doanh chnh lch t gi Arbitrages

Khi qut v nghip v kinh doanh chnh

lch t gi Arbitrages
Tm kim c hi v thc hin nghip v
Arbitrages
ng dng Arbitrages trong thanh ton: Xc
nh thay i v gi tr ti khon sau cc
giao dch

2- Nghip v kinh doanh chnh lch t gi

- Arbitrages
2.1 Tm kim c hi v thc hin nghip v
Arbitrages

2.1.1 Arbitrages gin n

2.1.2 Arbitrages phc tp

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Tm kim c hi v thc hin nghip v Arbitrages
gin n

Bc 1: Chuyn t gi yt gi theo mt th trng

Bc 2: Xc nh chiu mua bn
iu kin: Db (th trng X)< Dm (th trng Y)
=>c c hi Acbit

2- Nghip v kinh doanh chnh lch t

gi - Arbitrages
2.1.1 Tm kim c hi v thc hin nghip v
Arbitrages gin n (tip) - V d 1:

Ti th trng A: GBP/USD = 2.0315/55

GBP/EUR = 1.4388/28

Ti th trng B: USD/GBP = 0.4870/10

USD/EUR = 0.7072/16
Tm c hi thc hin nghip v Arbitrages vi: GBP/USD

2- Nghip v kinh doanh chnh lch t gi

Arbitrages
2.1.1 Tm kim c hi v thc hin nghip v
Arbitrages gin n (tip) - p n:
- Ti A: GBP / USD = 2,0315 / 55
1
- Ti B: GBP / USD = 0, 4910

1
0, 4870

= 2,0366 / 2,053
3

Db GBP/ USD (Ti A ) = 2,0355 < Dm GBP/ USD (Ti B = 2,0366):

C c hi

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Tm kim c hi Arbitrages gin n (tip) - Bi
tp p dng:

Ti th trng A: GBP/USD = 2.0315/55

GBP/EUR = 1.4388/28

Ti th trng B: USD/GBP = 0.4870/10

USD/EUR = 0.7072/16
Hy tm c hi v thc hin nghip v Arbitrages i vi GBP/EUR

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Tm kim c hi v thc hin nghip v Arbitrages
gin n - p n
Ti B:

Dm GBP/ EUR = Dm GBP/ USD * Dm USD/ EUR =

* 0.7072 = 1.4403

0.4910
1
=
=
Db GBP/ EUR Db GBP/ USD * Db USD/ EUR
* 0.7116 = 1.4612
0.4870
GBP/ EUR = 1.4403 / 1.4612

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Tm kim c hi v thc hin nghip v Arbitrages
gin n (tip) p n
Ti A:

GBP/EUR = 1.4388/28

Ti B:

GBP/EUR = 1.4403/1.4612

Db GBP/EUR (ti A) = 1.4428 > 1.4403= Dm GBP/EUR (ti B)

Db GBP/EUR (ti B) =1.4612 > 1.4388 = Dm GBP/EUR (ti A)

=> Khng c c hi

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp

Vi mt s vn bng mt ng tin no , trn c s

thng tin v t gi trn cc th trng, tin hnh mua v
bn cc ng tin c nim yt trn th trng c li
nhun - li nhun Arbitrages

Bc 1: La chn phng n kinh doanh: Tm c hi

Bc 2: Tin hnh mua v bn cc ng tin theo phng

n kinh doanh chn thu c li nhun Arbitrages

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp - V d:

Ti th trng 1: EUR/USD = 1,4052/40

Ti th trng 2: USD/CHF = 1,1807/74

Ti th trng 3: EUR/CHF = 1,6375/49

ng X c s tin l 150.000 EUR. Hy thc hin nghip v
Arbitrages v xc nh li nhun cho ng X khi tt c cc
yu t chi ph u c b qua.

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp p n:

Phng n 1:

Bn EUR/USD (ti th trng 1) -> Bn USD/CHF (ti th

trng 2) ->Bn CHF/EUR (ti th trng 3)

Phng n 2:

Bn EUR/CHF (ti th trng 1) -> Bn CHF/USD (ti th

trng 2) ->Bn USD/EUR (ti th trng 3)

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp p n:
Phng n 1
Bn EUR/USD theo Dm = 1,4052
=>s USD mua c: 150.000 * 1,4052 = 210.780 USD

Bn USD/CHF theo Dm = 1,1807

=>s CHF mua c: 210.780 * 1,1807 = 248.867,946 CHF

Bn CHF/EUR theo Dm CHF/EUR = 1 /1,6449 = 0,6079

=> s EUR mua c 248.867,946 * 0.6079 = 151.296,7025 EUR

Li nhun Arbitrages c xc nh theo phng n 1 l:

151.296,7025 150.000 = 1.296,7025 (EUR)

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp p n:
Phng n 2
Bn EUR/CHF (ti th trng 3) theo Dm = 1,6375
=>s CHF mua c:150.000 * 1,6375 = 245.625 CHF

Bn CHF/USD theo Dm CHF/USD = 1/1,1874 = 0,8422

=>s USD mua c: 245.625 * 0,8422 = 206.859,525 USD

Bn USD/EUR theo Dm USD/EUR = 1/Db (EUR/USD) = 1 /1,4140 = 0,7072

=> s EUR mua c 206.859,525 * 0,7072 = 146.293,865 EUR

Li nhun Arbitrages c xc nh theo phng n 2:

146.293,865 150.000= - 3706,135 (EUR) => Phng n 2 thua l

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp - Bi tp p dng
ng M c khon tin 500.000 CHF, trn c s thng tin t gi trn cc
th trng:

Th trng 1 bo gi: EUR/USD=1,1255/75

Th trng 2 bo gi: USD/CHF=1,5642/42
Th trng 3 bo gi: EUR/CHF=1,7890/10
Hy thc hin kinh doanh v xc nh li nhun Arbitrages cho ng M
khi khng tnh cc chi ph giao dch.

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp p n:

Phng n 1:
Bn CHF/USD (ti th trng 2) -> Bn USD/EUR (ti th trng 1)
->Bn EUR/CHF (ti th trng 3)

Phng n 2:
Bn CHF/EUR (ti th trng 3) -> Bn EUR/USD (ti th trng 1)
->Bn USD/CHF (ti th trng 2)

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp Phng n 1

Bn CHF/USD theo:

DmCHF / USD =

1
1
=
= 0,6352
DbUSD / CHF 1,5742

=>s USD mua c: 500.000 * 0,6352 = 317.600 USD

1
1
=
= 0,8869

Bn USD/EUR theo: DmUSD / EUR =

DbEUR / USD 1,1275
=>s EUR mua c: 317.600 * 0,8869 = 281.679.44 EUR

Bn EUR/CHF theo Dm = 1,7890

=> s CHF mua c 281.679,44 * 1,7890 = 503.924,5181 CHF

Li nhun Arbitrages c xc nh theo phng n 1:

503.924,5181 500.000 = 3.924,5181 CHF

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.1.1 Nghip v Arbitrages phc tp Phng n 2
1
1
=
= 0,5583
DbEUR / CHF 1,7910
=>s EUR mua c:500.000 * 0,5583 = 279.150 EUR
DmCHF / EUR =

Bn CHF/EUR theo:

Bn EUR/USD theo Dm = 1,1255

=>s USD mua c:279. 150 * 1,1255 = 314.183,325 USD

Bn USD/CHF theo Dm = 1,5642

=> s CHF mua c 314.183 * 1,5642 = 491.445,557 CHF

Li nhun Arbitrages c xc nh:

491.445,557 500.000 = - 8.554,4430 (CHF) => Phng n 2 thua l

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.2 ng dng Arbitrages trong thanh ton V d:

Mt cng ty ca Hng Kng (HKD) trong cng mt ngy nhn c

thng bo c thanh ton khon tin tr gi 50.000 GBP v 3.500.000

SEK ng thi h phi chi tr 45.000 EUR v 1.000.000 CHF. Hy ng

dng Arbitrages thanh ton v xc nh thay i v gi tr ti khon
trong ngy giao dch ca cng ty.

Thng tin trn th trng:

GBP/EUR =1,4388/1,4528

GBP/CHF = 2,4021/2,4240

SEK/CHF = 0,1797/49

HKD/CHF = 0,1521/0,1531

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.2 ng dng Arbitrages trong thanh ton p n:

B1: Bn GBP/EUR theo Dm GBP/EUR = 1,4388

=> s GBP cn bn l: 45.000*(1/1,4388) = 31.276,0633 (GBP)

=> s GBP cn li l: 50.000 31.276,0633 = 18.723,9367 (GBP)

B2: Bn GBP/CHF theo Dm GBP/CHF = 2,4021

=> s CHF c thanh ton: 18.723,9367 * 2,4021 = 44.976,7683

=> s CHF cn: 1.000.000 - 44.976,7683 = 955.023,2317

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.2 ng dng Arbitrages trong thanh ton p n:

B3: Bn SEK/CHF theo Dm SEK/CHF = 0,1797

=> s SEK c thanh ton l: 3.500.000 * 0,1797 = 628.950 (CHF)

=>s CHF cn li: 955.023,2317 - 628.950 = 326.073,2317 (CHF)

B4: Bn HKD thanh ton cho s CHF cn li theo Dm HKD/CHF = 0,1521

=> s HKD cn bn: 326.073,2317/0,1521 = 2.143.808,229 HKD

=> gi tr ti khon trong ngy giao dch: - 2.143.808,229 HKD

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.2 ng dng Arbitrages trong thanh ton Bi tp p dng:
Cng ty c (s dng ng EUR) trong cng mt ngy nhn thng bo
c thanh ton khon tin 150.000 CAD v 8.000.000 DKK, ng thi h
phi chi tr khon tin tr gi 200.000 CHF v 5.000.000 SEK. Hy ng
dng Arbitrages thanh ton v xc nh thay i gi tr ti khon trong
ngy ca cng ty.
EUR/USD = 1,1235/75

USD/CHF = 1,5642/42

CAD/USD = 0,8618/48

USD/SEK = 7,8310/97

USD/DKK = 6,9255/55

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.2 ng dng Arbitrages trong thanh ton p n:

Bc 1:
Cng ty bn CAD/CHF theo Dm CAD/CHF = Dm CAD/USD * Dm USD/CHF
= 0,8618 * 1,5642 = 1,3480

S CAD phi bn ra thu v 200.000 CHF l:

200.000*(1/1,3480) = 148.367,9525

S CAD cn l 150.000 148.367,9525 = 1.632,0475

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.2 ng dng Arbitrages trong thanh ton p n:

Bc 2:
Cng ty bn CAD/SEK theo Dm CAD/SEK=Dm CAD/USD * Dm USD/SEK
= 0,8618 * 7,8310 = 6,7487

S SEK mua c l: 1.632,0475 * 6,7487 = 11.014,1989 (SEK)

S SEK cn phi tr l 5.000.000 - 11.014,1989 = 4.988.985,8011 (SEK)

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.2 ng dng Arbitrages trong thanh ton p n:

Bc 3:
Cng ty bn DKK/SEK theo: DmDKK / SEK = DmUSD / SEK = 7,8310 = 1,1291
DbUSD / DKK

6,9355

=> S DKK phi bn ra hon thnh chi tr s SEK l:

4.988.985,8011 / 1,1291 = 4.418.550,8822 (DKK)
=> S DKK cn li l: 8.000.000 - 4.418.550,8822 =3.581.449,1178 (DKK)

2- Nghip v kinh doanh chnh lch t gi Arbitrages

2.2 ng dng Arbitrages trong thanh ton p n:

Bc 4 :
Cng ty bn DKK/EUR theo

DmDKK / EUR =

1
1
=
= 0,1279
DbEUR / USD * DbUSD / DKK 1,1275*6,9355

=> S EUR thu v l:

3.581.449,1178 * 0,1279 = 458.067,3421 (EUR)

=> Vy thay i gi tr ti khon cng ty sau giao dch l 458.067,3421 (EUR)