定价模型

NO.PZ2019052801000129

问题如下：

An Chinese trade company mainly exports goods to US and gives 90 days credit term for US companies. The payment is settled in USD. The Chinese company worries that the USD will depreciate and would like to hedge the downside risk by entering a short forward. Domestic risk-free rate is 4% and foreign risk-free rate is 2%. The current spot rate is 6.7523￥per $. What is the price of the forward contract?

选项：

6.3827.

6.7847.

6.5827.

6.6827.

解释：

B is correct.

考点：Foreign Exchange Risk

解析：中国公司会在90天后收到美元，但是担心未来美元会下跌，所以签订了一个short USD forward作为对冲。远期合约的价格应该等于:

$F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847$

我在看这期视频课的时候，Estimating Foreign Exchange Risk，没有定价模型啊？请问FX 期货定价模型在哪期课件里？

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1 个答案

pzqa27 · 2024年10月30日

嗨，努力学习的PZer你好：

在这里

----------------------------------------------
努力的时光都是限量版，加油！

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NO.PZ2019052801000129问题如下Chinese tra company mainly exports goo to US angives 90 ys cret term for US companies. The payment is settlein US The Chinese company worries ththe USwill preciate anwoullike to hee the wnsi risk entering a short forwar mestic risk-free rate is 4% anforeign risk-free rate is 2%. The current spot rate is 6.7523￥per $. Whis the priof the forwarcontract? A.6.3827.B.6.7847.C.6.5827.6.6827.B is correct. 考点Foreign Exchange Risk解析中国公司会在90天后收到美元，但是担心未来美元会下跌，所以签订了一个short USforwar为对冲。远期合约的价格应该等于:FT=6.7523×1.0490/3651.0290/3656.7847F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847FT=6.7523×1.0290/3651.0490/3656.7847老师，解不下去了，是哪里错误了吗？

2024-06-05 12:04 1 · 回答

NO.PZ2019052801000129 问题如下 Chinese tra company mainly exports goo to US angives 90 ys cret term for US companies. The payment is settlein US The Chinese company worries ththe USwill preciate anwoullike to hee the wnsi risk entering a short forwar mestic risk-free rate is 4% anforeign risk-free rate is 2%. The current spot rate is 6.7523￥per $. Whis the priof the forwarcontract? A.6.3827. B.6.7847. C.6.5827. 6.6827. B is correct. 考点Foreign Exchange Risk解析中国公司会在90天后收到美元，但是担心未来美元会下跌，所以签订了一个short USforwar为对冲。远期合约的价格应该等于:FT=6.7523×1.0490/3651.0290/3656.7847F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847FT=6.7523×1.0290/3651.0490/3656.7847 为什么我的式子是1.02在分子上，1.04在分母上呢

2023-02-01 17:03 1 · 回答

NO.PZ2019052801000129 6.7847. 6.5827. 6.6827. B is correct. 考点Foreign Exchange Risk 解析中国公司会在90天后收到美元，但是担心未来美元会下跌，所以签订了一个short USforwar为对冲。远期合约的价格应该等于: FT=6.7523×1.0490/3651.0290/3656.7847F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847FT=6.7523×1.0290/3651.0490/3656.7847 请老师画图解析这个题目吧，不太明白谁是mestic rate谁是foreign rate？

2022-03-15 11:50 1 · 回答

NO.PZ2019052801000129 这道题如果我不是记公式如果用老师讲的画图的话，因为是short FP CNY/US 所以将来short forwar是US long的是CNY对不对，向上箭头应该是CNY啊，向下箭头是US，为什么分子是4% 以及，如果单纯知识点， long FP A/B , long的是标的物base不是quote吧？

2021-09-05 23:05 2 · 回答

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