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pengyaning · 2023年10月20日

求此道题目的解析，谢谢！

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000069

问题如下：

You are examining the exchange rate between the U.S. dollar and the Euro and have the following information:

Current USD/EUR exchange rate is 1.25.

Current USD-denominated 1-year risk-free interest rate is 4% per year.

Current EUR-denominated 1-year risk-free interest rate is 7% per year.

According to the interest rate parity theorem, what is the 1-year forward USD/EUR exchange rate?

选项：

A.

0.78

B.

0.82

C.

1.21

D.

1.29

解释：

The forward rate, Ft, is given by the interest rate parity equation:

where S0 is the spot exchange rate, r is the domestic (USD) risk-free rate, and rf is the foreign (EUR) risk-free rate, t is the time to delivery.

Substituting the values in the equation:

怎么判断此题是连续复利？

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2 个答案

李坏_品职助教 · 2023年10月21日

嗨，努力学习的PZer你好：


这里需要结合外汇市场的常识来判断。欧元币值是大于美元的， USD/EUR exchange rate is 1.25，意思是1EUR = 1.25USD。

所以YYY是USD（美元是quote currency），而XXX是EUR（欧元是base currency）。建议考试之前可以多看看主流货币的汇率对比，一般来说是英镑＞欧元＞美元＞日元。


按照利率平价理论，高利率的国家的远期汇率倾向于贬值（贴水），题目给出的是欧元利率更高，所以欧元的F应该是比S小的。所以是0.04-0.07.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

李坏_品职助教 · 2023年10月20日

嗨，从没放弃的小努力你好：


参考基础班讲义P237-238:

连续复利或者离散复利都可以，不会影响你选出正确选项的。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pengyaning · 2023年10月21日

此题中Current USD/EUR exchange rate is 1.25，表示xxx/yyy，那usd应该为基础货币，应该是e的（0.07-0.04）次方？

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