No.PZ2022123002000020 (问答题)
来源: 经典题
Gehlot asks Chlapowski to provide input regarding foreign exchange management. Chlapowski presents spot and forward rates in Exhibit 3. She also states:
Statement 1: A positive roll yield could be created in Dong’s portfolio by selling a USD/EUR forward contract.
Statement 2: A positive roll yield could be created in Dong’s portfolio by selling a CHF/USD forward contract.
Exhibit 3 Spot and Forward Rates
Identify which of Chlapowski’s statements is most likely to be correct based on the information provided in Exhibit 3. Calculate the forward premium or discount for each statement.
这道题，没弄懂的事情是：转换成CHF外币的形式，算Forward discount = (0.952/0.99) – 1 = 3.83%，那这个计算不就是sell CHF的计算吗，题目不是问 by selling a CHF/USD forward contract，那不应该是sell USD buy CHF吗？
