开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

🐚 · 2024年09月29日

请帮忙看一下我的思路是否正确

  1. CFA I
  2. Quantitative

NO.PZ2023052407000011

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

B.

USD/EUR1.025

C.

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).

除了直接算，我选的时候是通过现在euro的rf借款利率低，所以要借euro去美国投资，得到更大的收益。但是题目问的是无套利，所以一年后在美国赚到的更多的钱需要通过更高的usd/eur去换回euro。所以要选比1.025更大的1.051. 这样的思路是正确的吗

添加评论
1 个答案

袁园_品职助教 · 2024年09月30日

嗨，从没放弃的小努力你好：


是的，您的思路正确。借入欧元并在美国投资的确会产生更高收益，因此需要更高的 USD/EUR 汇率（1.051）来避免套利机会。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 74

    浏览
相关问题

NO.PZ2023052407000011 问题如下 The current exchange rate between the euro anUS llis USEUR1.025. Risk-free interest rates for one yeare 0.75 percent for the euro an3.25 percent for the US llar. The one-yeUSEUR forwarrate thbest prevents arbitrage opportunities is: A.USEUR1.051 B.USEUR1.025 C.USEUR0.975 A is correct. To avoiarbitrage opportunities in exchanging euros anUS llars, investors must able to loin a one-yeforwarexchange rate of USEUR1.051 toy. The solution methology is shown below.In one year, a single unit of euro investerisk-free is worth EUR1.0075 (=e0.0075).In one year, a single unit of euro converteto US llars anthen investerisk-free is worth US.0589 (=1.025*e0.0325).To convert US.0589 into EUR1.0075 requires a forwarexchange rate of USEUR1.051 (=1.0589/1.0075). forwarrate/ spot rate = (1+ pricurreninterest rate)/ (1+ base curreninterest rate) forwarrate/ 1.025 = (1+3.25%)/ (1+0.75%) forwarrate = 1.0504 请问我这样理解可以吗?

2024-11-08 02:05 1 · 回答

NO.PZ2023052407000011 问题如下 The current exchange rate between the euro anUS llis USEUR1.025. Risk-free interest rates for one yeare 0.75 percent for the euro an3.25 percent for the US llar. The one-yeUSEUR forwarrate thbest prevents arbitrage opportunities is: A.USEUR1.051 B.USEUR1.025 C.USEUR0.975 A is correct. To avoiarbitrage opportunities in exchanging euros anUS llars, investors must able to loin a one-yeforwarexchange rate of USEUR1.051 toy. The solution methology is shown below.In one year, a single unit of euro investerisk-free is worth EUR1.0075 (=e0.0075).In one year, a single unit of euro converteto US llars anthen investerisk-free is worth US.0589 (=1.025*e0.0325).To convert US.0589 into EUR1.0075 requires a forwarexchange rate of USEUR1.051 (=1.0589/1.0075). 这里公式得出的是无套利的远期汇率吗

2024-07-22 11:10 1 · 回答

NO.PZ2023052407000011问题如下 The current exchange rate between the euro anUS llis USEUR1.025. Risk-free interest rates for one yeare 0.75 percent for the euro an3.25 percent for the US llar. The one-yeUSEUR forwarrate thbest prevents arbitrage opportunities is: A.USEUR1.051B.USEUR1.025C.USEUR0.975 A is correct. To avoiarbitrage opportunities in exchanging euros anUS llars, investors must able to loin a one-yeforwarexchange rate of USEUR1.051 toy. The solution methology is shown below.In one year, a single unit of euro investerisk-free is worth EUR1.0075 (=e0.0075).In one year, a single unit of euro converteto US llars anthen investerisk-free is worth US.0589 (=1.025*e0.0325).To convert US.0589 into EUR1.0075 requires a forwarexchange rate of USEUR1.051 (=1.0589/1.0075). 请问这道题怎么按呢。

2024-03-06 13:28 1 · 回答

NO.PZ2023052407000011问题如下 The current exchange rate between the euro anUS llis USEUR1.025. Risk-free interest rates for one yeare 0.75 percent for the euro an3.25 percent for the US llar. The one-yeUSEUR forwarrate thbest prevents arbitrage opportunities is: A.USEUR1.051B.USEUR1.025C.USEUR0.975 A is correct. To avoiarbitrage opportunities in exchanging euros anUS llars, investors must able to loin a one-yeforwarexchange rate of USEUR1.051 toy. The solution methology is shown below.In one year, a single unit of euro investerisk-free is worth EUR1.0075 (=e0.0075).In one year, a single unit of euro converteto US llars anthen investerisk-free is worth US.0589 (=1.025*e0.0325).To convert US.0589 into EUR1.0075 requires a forwarexchange rate of USEUR1.051 (=1.0589/1.0075). 为什么不是用F1=S0*e(ru-re)*1次方，最后结果是选择3

2024-01-04 20:39 1 · 回答