这道题目的利率哪里写了是0.3%

问题如下：

Based on Exhibit 2, Troubadour should find that an arbitrage opportunity relating to TSI shares is:

选项：

not available.

available based on carry arbitrage.

available based on reverse carry arbitrage.

解释：

A is correct.

The carry arbitrage model price of the forward contract is：

FV(S0) = S0(1 + r) ^T = $250(1 + 0.003)^0,75 = $250.562289.

The market price of the TSI forward contract is $250.562289. A carry or reverse carry arbitrage opportunity does not exist because the market price of the forward contract is equal to the carry arbitrage model price.

中文解析：

本题考察的是远期合约的套利。

首先我们需要根据公式计算出无套利定价下远期合约的价格：FV(S0) = S0(1 + r) T = $250(1 + 0.003)0,75 = $250.562289.

然后和市场上的远期合约的价格进行比较，如果二者相等，则不存在套利，即本题的情况。

如果二者不相等，若F>S₀ (1+Rf)^T，则存在的套利过程叫做cash and carry；若F0 (1+Rf)^T ，则该套利过程叫做reverse cash and carry。