NO.PZ2016010801000114
问题如下:
In forward market, the 1-year forward rate is NZD/AUD 1.1079. Assume the annual interest rate is 2.5% in Australia (AUD) and 3% in New Zealand (NZD) respectively. What is the NZD/AUD spot rate?
选项:
A.1.1025.
B.1.1133.
C.1.1136.
解释:
A is correct.
According to interest rate parity, forward rate in NZD/AUD = spot rate* (1+interest rate in New Zealand)/(1+interest rate in Australia). Therefore, the spot rate is calculated as: NZD/AUD 1.1079*1.025/1.03=NZD/AUD=1.1025
考点:interest rate parity1
解析:根据利率平价,NZD/AUD的远期利率 =即期利率*(1+新西兰利率)/(1+澳大利亚利率)。因此,即期汇率计算为:NZD/AUD 1.1079*1.025/1.03=NZD/AUD=1.1025