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Olinaaaaa · 2024年04月30日

跟讲义完全不一样 非常混乱

  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:

我记得老师明确说的是XXXYYY=FP 那么XXX=YYYFP 这道题正好反过来 还有讲义关于连续复利的公式是F=S✖️e的Rxxx-Ryyy✖️T

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1 个答案

pzqa39 · 2024年04月30日

嗨，努力学习的PZer你好：


同学提到的讲义公式应该是这个吧：

这里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）

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