这题

问题如下：

Using the bid–offer quote midpoint in Exhibit 1 as the current spot rate and assuming uncovered interest rate parity holds, the projected one-year spot rate for the CAD/NZD currency pair is closest to:

选项：

A.0.8481. B.0.8308. C.0.8562.

解释：

Solution

B is correct. If uncovered interest rate parity holds, the expected spot rate one-year forward is equal to the one-year forward exchange rate. The forward exchange rate is calculated using the formula:$S^e=F_{f/d}=S_{f/d}\left(\frac{1+i_f}{1+i_d}\right)$where

S^e = expected spot rate one-year forward

F = one-year forward exchange rate

S_f/d = spot rate today for the pair trade (mid-market of the CAD/NZD spot bid–offer = 0.8394)

1 + i_f = today’s one-year MRR for the foreign (price) currency

1 + i_d = today’s one-year MRR for the domestic (base) currency

The CAD is the foreign (price) currency, and the NZD is the domestic (base) currency

$S^e=F=0.8394\left(\frac{1+0.0095}{1+0.02}\right)=0.83076=0.8308$

B is incorrect. It incorrectly reverses the MRR rates in the numerator and denominator in the calculation: Se = F = 0.8394[(1 + 0.02)/(1 + 0.0095)] = 0.84813 = 0.8481.

C is incorrect. It incorrectly multiplies the mid-point of the spot rate by the NZD one-year MRR rate: S^e = F = 0.8394(1 + 0.02) = 0.8562.

中文解析：

B是正确的。如果未覆盖的利率平价保持不变，预期的一年期远期即期汇率等于一年期远期汇率。远期汇率的计算公式为:

Se=预期远期即期汇率

F =一年期远期汇率

Sf/d =今日该货币对交易的即期汇率(加元/纽元现货买卖中间价= 0.8394)

1 + if =今日外币(价格)的一年期MRR

1 + id =今天国内(基础)货币的一年期MRR

加元是外国(价格)货币，新西兰元是国内(基础)货币



选项B不正确。它错误地颠倒了计算中分子和分母中的MRR率:Se = F = 0.8394[(1 + 0.02)/(1 + 0.0095)] = 0.84813 = 0.8481。

C是不正确的。它错误地将即期汇率中点乘以新西兰元一年期MRR利率:Se = F = 0.8394(1 + 0.02) = 0.8562。