NO.PZ2023071902000011
问题如下:
Question
A forex expert notices the following rates:
A riskless arbitrage profit exists that is closest to:
选项:
A.0.49%.
B.1.04%.
C.0.46%.
解释:
Solution
- The expert can secure a riskless arbitrage gain of 0.49%, determined as:
Return on the hedged foreign investment: Sf/d(1 + if)[1/Ff/d]-1 = 1.68(1.055)[1/1.72]-1 = 1.0246 -1= 3.05%.
Riskless arbitrage profit = Domestic risk-free rate – Return on the hedged foreign investment: 3.54% – 3.05% = 0.49%.
• explain the arbitrage relationship between spot and forward exchange rates and interest rates, calculate a forward rate using points or in percentage terms, and interpret a forward discount or premium
这题可以一步步详细解释一下吗?我是用( 1/1.68)x(1+3.5%)x1.72与1+3.54%轧差来算的,就是上课老师说的那个方法,不知道哪里错了。