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115833 · 2024年04月18日

profit= (F/S)×(1+Ry)-(1-Rx)

  1. CFA I
  2. Economics Analysis

NO.PZ2023071902000011

问题如下：

Question

A forex expert notices the following rates:

A riskless arbitrage profit exists that is closest to:

选项：

A.0.49%.

B.1.04%.

C.0.46%.

解释：

Solution
  1. The expert can secure a riskless arbitrage gain of 0.49%, determined as:

Return on the hedged foreign investment: Sf/d(1 + if)[1/Ff/d]-1 = 1.68(1.055)[1/1.72]-1 = 1.0246 -1= 3.05%.

Riskless arbitrage profit = Domestic risk-free rate – Return on the hedged foreign investment: 3.54% – 3.05% = 0.49%.

    Exchange Rate Calculations

    • explain the arbitrage relationship between spot and forward exchange rates and interest rates, calculate a forward rate using points or in percentage terms, and interpret a forward discount or premium

    专家可以获得0.49%的无风险套利收益，过程如下:

    套期保值的境外投资回报率:Sf/d(1 + if)[1/Ff/d]-1 = 1.68(1.055)[1/1.72]-1 = 1.0246 -1= 3.05%。

    无风险套利利润=境内无风险利率-套期境外投资回报率:3.54% - 3.05% = 0.49%。

    答案解析和助教老师的方法太过于复杂，我认为可以用何老师上课讲的方法计算，计算结果四舍入五也能做对题，毕竟这样算会快很多。

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    1 个答案

    笛子_品职助教 · 2024年04月18日

    嗨，爱思考的PZer你好：


    答案解析和助教老师的方法太过于复杂，我认为可以用何老师上课讲的方法计算，计算结果四舍入五也能做对题，毕竟这样算会快很多。

    Hello，亲爱的同学~

    同学理解正确的。

    可以用何老师上课讲的方法来计算。

    ----------------------------------------------
    加油吧，让我们一起遇见更好的自己！

    Jessica XU · 2024年04月19日

    可以请问何老师的方法是什么吗

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