NO.PZ2022123001000158
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
USD/EUR1.025
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).
小t代表什么？
可以用这个公式计算么？为什么不是F=1.025*e(0.0325-0.0075）*t？
e怎么计算，计算器能算么？
