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?