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Diana · 2023年10月29日

只要用到forward rate就是uncovered吗?

NO.PZ2023041102000014

问题如下:

Anna Goldsworthy is the chief financial officer of a manufacturing firm headquartered in the United Kingdom. Goldsworthy gathers the exchange rates from Dealer A in Exhibit 1.

The other analyst collects the GBP/EUR forward rates in Exhibit 2.

Selected three-month Libors (annualized) are shown in Exhibit 3. Goldsworthy studies Exhibit 3 and says, “We have the spot rate and the 90-day forward rate for GBP/EUR. As long as we have the GBP 90- day Libor, we will be able to calculate the implied EUR 90-day Libor

Using Exhibits 1, 2, and 3, which international parity condition would Goldsworthy most likely use to calculate the EUR Libor?

选项:

A.Real interest rate parity B.Covered interest rate parity C.Uncovered interest rate parity

解释:

The covered interest rate parity conditionspecifies the forward exchange rate that must hold to prevent arbitrage given the spot exchange rate and the risk-free rates in both countries. If the forward and spot exchange rates are known, as well as one of the risk-free rates, the other risk-free rate can be calculated.

这种题只要用到forward rate就是uncovered吗?如果用到future spot rate 就是covered?这应该是这两个公式唯一的区别点?

1 个答案

笛子_品职助教 · 2023年10月30日

嗨,努力学习的PZer你好:


这种题只要用到forward rate就是uncovered吗?如果用到future spot rate 就是covered?这应该是这两个公式唯一的区别点?

Hello,亲爱的同学~

forward rate是covered。future spot rate是uncovered

同学正好说反了。这里同学记忆一下哦~

这是两个公式的唯一区别。

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