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Helen 🎈 · 2023年09月05日

老师，他这个第一句我就懵了

  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).

Usd /eur1.025

如果不是常识，我就直接按照老师上课说的调换下位置eur1.025/usd，变成了1美元需要1.025欧元购买。

麻烦指教一下谢谢。


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1 个答案

星星_品职助教 · 2023年09月05日

同学你好，

汇率已经给出为USD/EUR1.025，不需要再调换位置。

这种表述相当于EUR为base currency，即1 EUR=1.025USD。


汇率的具体表述方式可在经济学中学习。

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