为什么分子要计算人民币的利率？

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：

6.3827.

6.7847.

6.5827.

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:

$F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847$

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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为什么分子要计算人民币的利率？

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