NO.PZ2023052407000011
问题如下:
The current exchange rate between the euro and US dollar is USD/EUR1.025. Risk-free interest rates for one year are 0.75 percent for the euro and 3.25 percent for the US dollar. The one-year USD/EUR forward rate that best prevents arbitrage opportunities is:
选项:
A.USD/EUR1.051
B.USD/EUR1.025
C.USD/EUR0.975
解释:
A is correct. To avoid arbitrage opportunities in exchanging euros and US dollars, investors must be able to lock in a one-year forward exchange rate of USD/EUR1.051 today. The solution methodology is shown below.
In one year, a single unit of euro invested risk-free is worth EUR1.0075 (=e0.0075).
In one year, a single unit of euro converted to US dollars and then invested risk-free is worth USD1.0589 (=1.025*e0.0325).
To convert USD1.0589 into EUR1.0075 requires a forward exchange rate of USD/EUR1.051 (=1.0589/1.0075).
除了直接算,我选的时候是通过现在euro的rf借款利率低,所以要借euro去美国投资,得到更大的收益。但是题目问的是无套利,所以一年后在美国赚到的更多的钱需要通过更高的usd/eur去换回euro。所以要选比1.025更大的1.051. 这样的思路是正确的吗