No.PZ2024030506000052 (选择题)
来源:
The treasurer of a London-based insurance company expects that 3 years from today the company will receive GBP 800,000. The treasurer plans to invest the funds for 1 year after that and decides to lock in a rate of return on the funds at today’s forward rate for the period. The current 3-year and 4-year spot rates are 1.5% and 2% respectively, and the company can borrow and lend at these rates. Assuming continuous compounding, how much interest income will the company earn in the 1-year period beginning 3 years from today, and what transactions should the treasurer enter into today in order to lock in this return?
您的回答A, 正确答案是: A
A
正确Borrow at the 3-year spot rate and lend at the 4-year spot rate to earn a return of GBP 28,000.
看答案解析，就简单的使用4年*2%-3年*1.5%算出利差然后乘以本金，这题不需要折现吗？
