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:
SolutionA 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?