3.3. THE LAW OF ONE PRICE FOR SPOT EXCHANGE QUOTES 99
Figure 3.12:
A Dealer’s Shopping-Around Spreadsheet
Key
Courtesy of Paul Goossens, dealer at
KBC
Brussels. Paul’s spreadsheet shows the best quotes from
EBS
’s broking screens, from Reuters Dealing
2002, and the indirect quotes (via
usd
or
eur
). The latter are obviously rounded. Check how the indirect quotes are always wider at one side at least.
(With only two pips between the best direct quotes, and with rounding of the synthetic quotes, one side must always seem to match.) The wider quoteslabeled Reuters are the indicative, non-binding ones from the
Reuters FX/FX
pages; they mean nothing except that that some banks are willing to quote.
See how Paul’s sheet gets the
eur
/usd
quote from
EBS
into the black&green part of the spreadsheet. Cell 1 is selected; spot the underlying command
=RtGet(‘‘IDN’’:‘‘EUR=EBS’’:‘‘BID’’)
in the
enter function
box above the spreadsheet. From the imported data in the black part, synthetic rates
are computed.