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YI YU · 2024年10月20日

第一步就没懂

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000068

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.

老师好，这个汇率的题目总是有一点疑惑

他说1.368 CFH/USD. 那么CFH 就是base currency, USD is quoted currency.

to calculate future price

F=S[(1+RA)/(1+RB)]^T

Where RA is the interest rate of the quoted currency (1.05%) and RB is the interest rate of the base currency (0.35%）


for continuous compounding interest rate

F不应该等于S*EXP[(RA-RB)*T]吗

为什么答案是F=1.368*EXP[(0.35%-1.05%)*0.25]

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李坏_品职助教 · 2024年10月20日

嗨，从没放弃的小努力你好：


题目给的报价形式是1.3680CHF = 1USD，所以是把USD看作base（XXX），而CHF是quote（YYY）。

所以F= S * exp[(Rchf - Rusd)*0.25]



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NO.PZ2023091802000068问题如下 Current spot CHF/USrate: 1.3680 (1.3680CHF = 1US 3-month USinterest rates: 1.05% 3-month Swiss interest rates: 0.35% (Assume continuous compounng) A currentrar notices ththe 3-month future priis US.7350. In orr to arbitrage, the trar shoulinvestment: A.Borrow CHF, buy USspot, go long CHF futuresB.Borrow CHF, sell CHF spot, go short CHF futuresC.Borrow US buy CHF spot, go short CHF futuresBorrow US sell USspot, go long CHF futures Step 1. The spot is quotein terms of Swiss Franper UStheoreticfuture priof US= 1.368 × e(0.35% – 1.05%) × 3/12 =1.368 × 0.99825 = 1.36561 CHF Step 2. 3-month future priis US0.7350 →1/0.7350 = 1.3605 CHF Step 3. 1.36561 CHF 1.3605 CHF → USuture contrais unrvalueStep 4. Arbitrage strategies: borrow US(buyCHF) spot, buy US(short CHF) future. 不太明白us.7350具体什么含义？us.7350和chf具体数量关系是什么？

2024-07-01 17:35 1 · 回答

NO.PZ2023091802000068 问题如下 Current spot CHF/USrate: 1.3680 (1.3680CHF = 1US 3-month USinterest rates: 1.05% 3-month Swiss interest rates: 0.35% (Assume continuous compounng) A currentrar notices ththe 3-month future priis US.7350. In orr to arbitrage, the trar shoulinvestment: A.Borrow CHF, buy USspot, go long CHF futures B.Borrow CHF, sell CHF spot, go short CHF futures C.Borrow US buy CHF spot, go short CHF futures Borrow US sell USspot, go long CHF futures Step 1. The spot is quotein terms of Swiss Franper UStheoreticfuture priof US= 1.368 × e(0.35% – 1.05%) × 3/12 =1.368 × 0.99825 = 1.36561 CHF Step 2. 3-month future priis US0.7350 →1/0.7350 = 1.3605 CHF Step 3. 1.36561 CHF 1.3605 CHF → USuture contrais unrvalueStep 4. Arbitrage strategies: borrow US(buyCHF) spot, buy US(short CHF) future. 前面三步都能确定，第四部没懂，请老师解答。并请提示相应的视频课件位置

2024-05-11 05:12 1 · 回答