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临江仙 · 2020年03月07日

问一道题：NO.PZ2019052801000129

  1. FRM I
  2. Financial Markets And Products

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

这道题其实没有说是连续还是离散，我两个都计算了，然后只找到离散的，所以就选了。

这里有个问题，如果考试的时候，题目中不说离散还是连续，那计算起来就有点麻烦了。

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袁园_品职助教 · 2020年03月08日

同学你好！

一般来说除非特殊情况或者题目中已明确说明的，连续和离散都可以，而且结果也不会相差太大。

这道题如果用连续复利的来算，依然是B答案是最接近的。

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