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一小溪 · 2020年09月10日

问一道题：NO.PZ2019052801000129 [ FRM I ]

  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

请问Rf不是年化的吗？为什么不除4呢？
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1 个答案

袁园_品职助教 · 2020年09月11日

同学你好！

体现在指数上了啊，1.04的 90/365 次方

一小溪 · 2020年09月11日

明白啦，因为一年复利1次，所以M=1

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