NO.PZ2023071902000003
问题如下:
Question
Given the data below:
Exchange rate for New Zealand dollar (NZD) to British pound (GBP): 2.1050
Libor interest rate for the British pound: 1.6520%
Libor interest rate for the New Zealand dollar: 3.3050%
All Libor rates are provided on a 360-day year basis
选项:
A.39 B.172 C.339解释:
The principle of covered interest arbitrage ensures that the same initial amounts invested at the domestic interest rates of their respective countries will yield identical end values:
GBP calculation: ₤1 × (1 + 0.016520 × 180/360) = ₤1.00826
NZD calculation: NZ$2.1050 × (1 + 0.033050 × 180/360) = NZ$2.1398
The forward rate is found by equating these two end values:
NZD/GBP forward rate = NZ$2.1398/₤1.00826 = 2.1222
Forward points = (Forward Rate – Spot Rate) × 10,000
= (2.1222– 2.1050) × 10,000
= 172
• 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
利差套利原则确保以各自国家的国内利率投资的相同初始金额将产生相同的最终价值:
英镑计算:£1 × (1 + 0.016520 × 180/360) =£1.00826
新西兰元计算:新西兰元2.1050 × (1 + 0.033050 × 180/360) =新西兰元2.1398
通过将这两个最终等价,可以求得远期汇率:
纽元兑英镑远期汇率= 2.1398纽元÷1.00826英镑= 2.1222
远期点=(远期汇率-即期汇率)× 10000
= (2.1222 - 2.1050) × 10,000
= 172
Exchange rate for New Zealand dollar (NZD) to British pound (GBP): 2.1050的意思不应该是一个nzd可以转换成2.105个gbp的意思吗,我理解是from nzd to gbp的关系呀(gbp/nzd),为什么还是nzd/gbp,相当于exchange rate for usd to rmb=7, 那么应该是7 rmb/usd呀。