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一凡007 · 2024年07月01日

usd per eur1exchange rate:1.13和usd1.13 per eur

NO.PZ2023091802000071

问题如下:

A currency analyst is examining the exchange rate between the US dollar and the euro and is given the following:

Current USD per EUR 1 exchange rate: 1.13

Current USD-denominated 1-year risk-free interest rate: 2.7% per year

Current EUR-denominated 1-year risk-free interest rate: 1.7% per year

According to the interest rate parity theorem, what is the 2-year forward USD per EUR 1 exchange rate?

选项:

A.

1.1081

B.

1.1190

C.

1.1411

D.

1.1523

解释:

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

where:

S is the spot exchange rate, RUSD is the USD risk-free rate, REUR is the EUR risk-free rate, and T is the time to delivery.

Substituting the values in the equation:

A is incorrect. USD 1.1081 per EUR 1 is the 2-year forward exchange rate when the 1-year risk-free rates for the two countries are switched in the formula.

B is incorrect. USD 1.1190 per EUR 1 is the 1-year forward exchange rate when the 1-year risk-free rates for the two countries are switched in the formula.

C is incorrect. USD 1.1411 per EUR 1 is the 1-year forward exchange rate, not the 2-year forward rate.

这两种方式有区别吗?

1 个答案
已采纳答案

pzqa27 · 2024年07月02日

嗨,努力学习的PZer你好:


从表达上看是一样的,都是指1.13美元可以换1欧元

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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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