NO.PZ2022123001000158
问题如下：
The current exchange rate between the euro and US
dollar is USD/EUR1.025. Risk-free interest rates for one year are 0.75 percent
for the euro and 3.25 percent for the US dollar. The one-year USD/EUR forward
rate that best prevents arbitrage opportunities is:
选项：
A.USD/EUR1.051
USD/EUR1.025
USD/EUR0.975
解释：
A is correct. To avoid
arbitrage opportunities in exchanging euros and US dollars, investors must be
able to lock in a one-year forward exchange rate of USD/ EUR1.051 today. The
solution methodology is shown below.
In one year, a single unit
of euro invested risk-free is worth EUR1.0075 (=e0.0075).
In one year, a single unit
of euro converted to US dollars and then invested risk-free is worth USD1.0589
(=1.025*e0.0325).
To convert USD1.0589 into
EUR1.0075 requires a forward exchange rate of USD/EUR1.051 (=1.0589/1.0075).
我是这样算的。
0时刻USD/EUR= 1.025
rUSD=3.25%, rEUR=0.75%,
那么一年后USD/EUR = 1.025 (1+3.25%)/(1+0.75%) = 1.0504
这样计算可以吗
