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:
请问Rf不是年化的吗?为什么不除4呢?