NO.PZ202208160100000105
问题如下：
Based on the data in Exhibit 1, the expected net investment return on a one-year carry trade based on the JPY/EUR currency pair, measured in JPY terms, is closest to:
选项：
A.2.86%.
B.3.10%.
C.3.01%.
解释：
Solution
A is correct. In a carry trade, an investor will borrow in the low interest rate currency, the JPY, at 0.15% and invest in the high interest rate currency, the EUR, at 1.40%.
Calculate the current and one-year-later JPY/EUR cross-rates.
Borrow JPY and buy USD for JPY117.66 (offer); then use USD to buy EUR for USD1.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.
The one-year-later cross-rate for the JPY/EUR is calculated as 118.32 × 1.0984 = 129.963 = 129.96.
The net investment return for the unhedged EUR deposit, measured in JPY, is calculated as
[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86%
C is incorrect. It neglects to deduct the interest on the JPY loan.
[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01%
B is incorrect. It incorrectly uses the bid cross-rate in the first step.
117.62 × 1.0851 = 127.629 = 127.63
[1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10%
答案中第二点129.96的计算过程和逻辑麻烦讲解下
