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努力的KK · 2025年06月25日

这个地方为什么rate是1.02 1.04的90/365次方

NO.PZ2019052801000129

问题如下:

An Chinese trade company mainly exports goods to US and gives 90 days credit term for US companies. The payment is settled in USD. The Chinese company worries that the USD will depreciate and would like to hedge the downside risk by entering a short forward. Domestic risk-free rate is 4% and foreign risk-free rate is 2%. The current spot rate is 6.7523¥per $. What is the price of the forward contract?  

选项:

A.

6.3827.

B.

6.7847.

C.

6.5827.

D.

6.6827.

解释:

B is correct.

考点:Foreign Exchange Risk

解析:中国公司会在90天后收到美元,但是担心未来美元会下跌,所以签订了一个short USD forward作为对冲。远期合约的价格应该等于:

FT=6.7523×1.0490/3651.0290/3656.7847F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847

而不是(1+0.02*90/365)的90/365次方与(1+0.04*90/365)的90/365次方

1 个答案

李坏_品职助教 · 2025年06月25日

嗨,从没放弃的小努力你好:


(1+0.02*90/365)的90/365次方


这个写法是不对的,计算题要么用单利(单利用于interest rate swap或者FRA合约),要么就用复利。

单利是(1+0.02*90/365),而复利则是(1+0.02)的90/365次方。



此外,还有一种特殊的复利,叫做连续复利,就是e的....次方,那个一般是用于stock index futures或者options的题目。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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