关于swap,arbitrage

问题如下：

Current spot CHF/USD rate: 1.3680 (1.3680CHF = 1USD)

3-month USD interest rates: 1.05%

3-month Swiss interest rates: 0.35%

(Assume continuous compounding)

A currency trader notices that the 3-month future price is USD 0.7350. In order to arbitrage, the trader should investment:

选项：

A.

Borrow CHF, buy USD spot, go long CHF futures

B.

Borrow CHF, sell CHF spot, go short CHF futures

C.

Borrow USD, buy CHF spot, go short CHF futures

D.

Borrow USD, sell USD spot, go long CHF futures

解释：

Step 1. The spot is quoted in terms of Swiss Francs per USD, theoretical future price of USD = 1.368 × e^{(0.35% – 1.05%) × 3/12} = 1.368 × 0.99825 = 1.36561 CHF

Step 2. 3-month future price is USD 0.7350 → 1/0.7350 = 1.3605 CHF

Step 3. 1.36561 CHF > 1.3605 CHF → USD future contract is undervalued

Step 4. Arbitrage strategies: borrow USD (buy CHF) spot, buy USD (short CHF) future.