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wuzx · 2021年09月05日

为什么分子要计算人民币的利率？

  1. FRM I
  2. Financial Markets And Products

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

已经给了spot price是现价了，为甚么还要乘以利率呢
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1 个答案

李坏_品职助教 · 2021年09月05日

嗨，爱思考的PZer你好：


给出的是spot但是求的是forward汇率。


根据外汇的远期合约定价公式：

F = S * (1+rd)/(1+rf)，rd是domestic 利率，rf是foreigh 利率，这里的F和S分别是直接标价法（1美元=6.7人民币）下面的远期和即期汇率。

所以F=6.7523 * （1.04^90/365）/ (1.02^90/365)

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NO.PZ2019052801000129问题如下Chinese tra company mainly exports goo to US angives 90 ys cret term for US companies. The payment is settlein US The Chinese company worries ththe USwill preciate anwoullike to hee the wnsi risk entering a short forwar mestic risk-free rate is 4% anforeign risk-free rate is 2%. The current spot rate is 6.7523￥per $. Whis the priof the forwarcontract? A.6.3827.B.6.7847.C.6.5827.6.6827.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 USforwar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}}6.7847FT​=6.7523×1.0290/3651.0490/365​6.7847老师，解不下去了，是哪里错误了吗？

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