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okbella · 2024年06月07日

XXXYYY

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000069

问题如下：

You are examining the exchange rate between the U.S. dollar and the Euro and have the following information:

Current USD/EUR exchange rate is 1.25.

Current USD-denominated 1-year risk-free interest rate is 4% per year.

Current EUR-denominated 1-year risk-free interest rate is 7% per year.

According to the interest rate parity theorem, what is the 1-year forward USD/EUR exchange rate?

选项：

A.

0.78

B.

0.82

C.

1.21

D.

1.29

解释：

The forward rate, Ft, is given by the interest rate parity equation:

where S0 is the spot exchange rate, r is the domestic (USD) risk-free rate, and rf is the foreign (EUR) risk-free rate, t is the time to delivery.

Substituting the values in the equation:

老师您好，从看视频到做题，除了可以自行判别的 ‘usd/cny’，‘cnyusd’ 这种类型的汇率写法（不论哪个在前都可以知道1美元对应更多人民币），其余的汇率写法xxxyyy或xxx/yyy 是否都是可以认作xxx作为base， yyy作为quote？所以xxx对应国家的interest rate作为分母，yyy对应国家的interest rate作为分子？还是说有别的理解方式呢？感觉比学之前更混乱了：（

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2 个答案

品职答疑小助手雍 · 2024年06月11日

对的。

品职答疑小助手雍 · 2024年06月08日

同学你好，考试一般给的都是xxx/yyy这种哈，意味着n个x能换1个y，你就把斜杠后面（分母）位置看成是一个苹果就好了。

至于xxxyyy这种没有斜杠的写法变换成有斜杠的写法就是yyy/xxx，顺序刚好倒过来。

okbella · 2024年06月11日

所以在xxxyyy里面，xxx作为base，yyy作为quote 然后变换成xxx/yyy后，xxx作为quote，yyy作为base？

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