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秀子 · 2020年01月12日

问一道题：NO.PZ2016010801000115

  1. CFA I
  2. Economics Analysis

问题如下：

In spot market, Swiss Franc (CHF) is traded at CHF/EUR 1.1613. In forward market, the 90-day forward rate is CHF/EUR 1.1592. Which of the following statement is most likely correct?

选项：

A.

Interest rates are lower in the Euro Zone relative to Switzerland.

B.

Interest rates are higher in the Euro Zone relative to Switzerland.

C.

More CHF is needed to exchange one EUR in the forward market than exchange in the spot market.

解释：

B is correct.

Forward rate in CHF/EUR = spot rate* (1+interest rate in Switzerland)/(1+interest rate in Euro Zone). Forward rate is lower than spot rate in CHF/EUR as1.1592<1.1613, therefore Interest rates are higher in the Euro Zone than in Switzerland.

考点：Forward rate

解析：瑞士法郎/欧元远期利率=即期利率*(1+瑞士利率)/(1+欧元区利率)。远期利率低于即期汇率(CHF/EUR =1.1592<1.1613)，因此欧元区利率高于瑞士区利率。

助教老师，请问讲课的时候，何老师说在该公式下算得的利率都是将来的利率，且课堂上推理即期利率是和将来的利率涨跌方向正好相反。所以在没有特殊说明的情况下是只比较将来的利率，对吗？

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1 个答案

源_品职助教 · 2020年01月15日

嗨，从没放弃的小努力你好：


同学，你是不是想表达用该公式计未来的“汇率”。

该公式中远期汇率（而非将来的利率）同利率呈现反比，

所以比较利率即可。


-------------------------------
努力的时光都是限量版，加油！


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