NO.PZ2023091802000068
问题如下:
Current spot CHF/USD rate: 1.3680 (1.3680CHF = 1USD)
3-month USD interest rates: 1.05%
3-month Swiss interest rates: 0.35%
(Assume continuous compounding)
A currency trader notices that the 3-month future price is USD 0.7350. In order to arbitrage, the trader should investment:
选项:
A.Borrow CHF, buy USD spot, go long CHF futures
B.Borrow CHF, sell CHF spot, go short CHF futures
C.Borrow USD, buy CHF spot, go short CHF futures
D.Borrow USD, sell USD spot, go long CHF futures
解释:
Step 1. The spot is quoted in terms of Swiss Francs per USD,
theoretical future price of USD = 1.368 × e(0.35% – 1.05%) × 3/12 =
1.368 × 0.99825 = 1.36561 CHF
Step 2. 3-month future price is USD 0.7350 →
1/0.7350 = 1.3605 CHF
Step 3. 1.36561 CHF > 1.3605 CHF → USD
future contract is undervalued
Step 4. Arbitrage strategies: borrow USD (buy
CHF) spot, buy USD (short CHF) future.
前面三步都能确定,第四部没懂,请老师解答。并请提示相应的视频课件位置