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省略号 · 2024年04月12日

为什么使用forward rate 就是用covered 模型？

  1. CFA II
  2. Economics Analysis

NO.PZ2023041102000014

问题如下：

Anna Goldsworthy is the chief financial officer of a manufacturing firm headquartered in the United Kingdom. Goldsworthy gathers the exchange rates from Dealer A in Exhibit 1.

The other analyst collects the GBP/EUR forward rates in Exhibit 2.

Selected three-month Libors (annualized) are shown in Exhibit 3. Goldsworthy studies Exhibit 3 and says, “We have the spot rate and the 90-day forward rate for GBP/EUR. As long as we have the GBP 90- day Libor, we will be able to calculate the implied EUR 90-day Libor

Using Exhibits 1, 2, and 3, which international parity condition would Goldsworthy most likely use to calculate the EUR Libor?

选项：

A.Real interest rate parity

B.Covered interest rate parity

C.Uncovered interest rate parity

解释：

The covered interest rate parity conditionspecifies the forward exchange rate that must hold to prevent arbitrage given the spot exchange rate and the risk-free rates in both countries. If the forward and spot exchange rates are known, as well as one of the risk-free rates, the other risk-free rate can be calculated.

几个模型使用的不同变量能不能汇总下？

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笛子_品职助教 · 2024年04月13日

嗨，从没放弃的小努力你好：


为什么使用forward rate 就是用covered 模型？几个模型使用的不同变量能不能汇总下？

Hello，亲爱的同学~


可以汇总的，如下：

B选项，对于covered interest rate parity，使用forward价格。

C选项，对于Uncovered interest rate parity，使用未来预期的spot价格。

这是知识点，需要同学记忆一下的。


关于A选项，并没有Real interest rate parity这个说法，A是凑选项的，因为选择题必须有三个选项。

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