NO.PZ2023080903000042
问题如下:
In a financial landscape, consider the current exchange dynamics between the fictional currency "Florin" (FLR) and the "Quartz" (QTZ). Presently, the exchange rate stands at QTZ/FLR 0.970. Assuming one-year risk-free interest rates are 0.68 percent for the Florin and 2.92 percent for the Quartz, what should be the most suitable one-year QTZ/FLR forward rate to prevent arbitrage opportunities?
选项:
A.
QTZ/FLR 1.012
B.
QTZ/FLR 0.992
C.
QTZ/FLR 0.913
解释:
=0.97e(2.92%-0.68%)=0.97e2.24%
=0.992
一年期为例,何时用一年利率(1+年利率),何时用一年期连续复利e^(年利率)?