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wenxing · 2022年11月01日

一个大问题?

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NO.PZ202208160100000306

问题如下:

Using the data provided in Exhibit 2 for the interbank market only, a European investor who attempts to exploit the DNR currency market with a normal one-year carry trade based on a 100,000 EUR position will most likely achieve a net profit in EUR of:

选项:

A.1,963.00

B.3,018.00

C.2,218.00

解释:

Solution

A is correct. Using the data provided in Exhibit 2 for the interbank market only, a European investor who attempts to exploit the DNR currency market with a normal one-year carry trade based on a 100,000 EUR position will most likely achieve a net profit in EUR of:

Sell 100,000 EUR × (1/0.8065)(USD/EUR) = 123,992.56 USD

Sell 123,992.56 USD × 1.2050(ENR/USD) = 149,411 DNR

Invest at 3.0% DRN MRR: 149,411 DNR × (1 + 0.03) = 153,893.37 DNR

Convert to EUR at projected spot:

153,893.37 DNR × (1/1.228)(USD/DNR) × 0.82(EUR/USD) = 102,763 EUR

Less borrowing cost: 100,000 × 0.8% = EUR 800

Ending balance = EUR101,963 EUR

Less 100,000 beginning value = EUR 1,963 profit

B is incorrect. The mistake is omitting the deduction of the borrowing cost.

C is incorrect. The mistake is using the bid of 0.8045 and inverting it in the first step. When you invert, the quote has a new base currency. The inverted bid is now an ask.

不应该在interbank算出EUR DNR汇率比?然后再算出能换算成多少DNR?

1 个答案

笛子_品职助教 · 2022年11月01日

嗨,从没放弃的小努力你好:


不应该在interbank算出EUR DNR汇率比?然后再算出能换算成多少DNR?


Hello,亲爱的同学!可以这么算呀。

我们就按照同学所说的步骤,来算一下。


USD/EUR = 1/0.8065

DNR/USD = 1.2050

因此,DNR/EUR = 1/0.8065 * 1.2050 = 1.49411

因此,sell 100000EUR,可以兑换149411DNR


这一段和解析:

Sell 100,000 EUR × (1/0.8065)(USD/EUR) = 123,992.56 USD

Sell 123,992.56 USD × 1.2050(DNR/USD) = 149,411 DNR


结果是一样的。

解析是解释了,交叉汇率的计算原理。我们知道原理了,就直接计算交叉汇率就可以啦。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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