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一凡007 · 2024年07月01日

USD 0.7350 → 1/0.7350 = 1.3605 CHF

  1. FRM I
  2. Financial Markets And Products

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.

不太明白usd0.7350具体什么含义？usd0.7350和chf具体数量关系是什么？

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李坏_品职助教 · 2024年07月01日

嗨，爱思考的PZer你好：


题目给的条件是A currency trader notices that the 3-month future price is USD 0.7350.  意思是现在外汇期货市场上，3个月期限的期货报价是0.7350USD，这个报价的意思是1CHF = 0.7350 USD。


为了与spot报价保持一致，我们要转换成1USD = 1/0.7350 = 1.3605CHF。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2023091802000068 问题如下 Current spot CHF/USrate: 1.3680 (1.3680CHF = 1US 3-month USinterest rates: 1.05% 3-month Swiss interest rates: 0.35% (Assume continuous compounng) A currentrar notices ththe 3-month future priis US.7350. In orr to arbitrage, the trar shoulinvestment: A.Borrow CHF, buy USspot, go long CHF futures B.Borrow CHF, sell CHF spot, go short CHF futures C.Borrow US buy CHF spot, go short CHF futures Borrow US sell USspot, go long CHF futures Step 1. The spot is quotein terms of Swiss Franper UStheoreticfuture priof US= 1.368 × e(0.35% – 1.05%) × 3/12 =1.368 × 0.99825 = 1.36561 CHF Step 2. 3-month future priis US0.7350 →1/0.7350 = 1.3605 CHF Step 3. 1.36561 CHF 1.3605 CHF → USuture contrais unrvalueStep 4. Arbitrage strategies: borrow US(buyCHF) spot, buy US(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

2024-05-11 05:12 1 · 回答