一个大问题？

问题如下：

Using the data provided in Exhibit 2 for the interbank market only, a European investor who attempts to exploit the DNR currency market with a normal one-year carry trade based on a 100,000 EUR position will most likely achieve a net profit in EUR of:

选项：

A.1,963.00

B.3,018.00

C.2,218.00

解释：

A is correct. Using the data provided in Exhibit 2 for the interbank market only, a European investor who attempts to exploit the DNR currency market with a normal one-year carry trade based on a 100,000 EUR position will most likely achieve a net profit in EUR of:

Sell 100,000 EUR × (1/0.8065)(USD/EUR) = 123,992.56 USD

Sell 123,992.56 USD × 1.2050(ENR/USD) = 149,411 DNR

Invest at 3.0% DRN MRR: 149,411 DNR × (1 + 0.03) = 153,893.37 DNR

Convert to EUR at projected spot:

153,893.37 DNR × (1/1.228)(USD/DNR) × 0.82(EUR/USD) = 102,763 EUR

Less borrowing cost: 100,000 × 0.8% = EUR 800

Ending balance = EUR101,963 EUR

Less 100,000 beginning value = EUR 1,963 profit

B is incorrect. The mistake is omitting the deduction of the borrowing cost.

C is incorrect. The mistake is using the bid of 0.8045 and inverting it in the first step. When you invert, the quote has a new base currency. The inverted bid is now an ask.