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Jusay · 2023年08月22日

这个汇率计算在数量里哪个地方讲过？？

  1. CFA I
  2. Quantitative

NO.PZ2023052407000011

问题如下：

The current exchange rate between the euro and US dollar is USD/EUR1.025. Risk-free interest rates for one year are 0.75 percent for the euro and 3.25 percent for the US dollar. The one-year USD/EUR forward rate that best prevents arbitrage opportunities is:

选项：

A.

USD/EUR1.051

B.

USD/EUR1.025

C.

USD/EUR0.975

解释：

A is correct. To avoid arbitrage opportunities in exchanging euros and US dollars, investors must be able to lock in a one-year forward exchange rate of USD/EUR1.051 today. The solution methodology is shown below.

In one year, a single unit of euro invested risk-free is worth EUR1.0075 (=e0.0075).

In one year, a single unit of euro converted to US dollars and then invested risk-free is worth USD1.0589 (=1.025*e0.0325).

To convert USD1.0589 into EUR1.0075 requires a forward exchange rate of USD/EUR1.051 (=1.0589/1.0075).

完全没印象

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1 个答案

星星_品职助教 · 2023年08月22日

24年数量考纲和23年有较大不同，本题在24年的基础班中讲过，可参考基础班对应讲解及该知识点相关内容。

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