NO.PZ2023091701000019
问题如下：
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?
选项：
A.Borrow at the 3-year spot rate and lend at the 4-year spot rate to earn a return of GBP 28,000.
B.Lend at the 3-year spot rate and borrow at the 4-year spot rate to earn a return of GBP 28,000.
C.Borrow at the 3-year spot rate and lend at the 4-year spot rate to earn a return of GBP 28,119.
D.Lend at the 3-year spot rate and borrow at the 4-year spot rate to earn a return of GBP 28,119.
解释：
A is correct. The forward rate for the period from the end of year 3 to the end of year 4 is:
(Alternatively, 𝐹 = (𝑒𝑥𝑝(0.02*4)/𝑒𝑥𝑝(0.015*3)).)
3.5% interest on the GBP 800,000 invested equals GBP 28,000 in 1 year. To earn this interest, the company would need to borrow GBP 800,000 today at 1.5% for 3 years and invest the proceeds at 2% for 4 years.
B is incorrect. The company needs to borrow at the 3-year spot rate and lend at the 4-year spot rate.
C and D are incorrect. GBP 28,119 is the interest income if annual compounding is used instead of continuous compounding.
老师，这句话没看明白，annual compounding和continuous compinding是想说前面是连续复利，后面是离散复利？
