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_左边 · 2020年03月01日

问一道题:NO.PZ2018091706000048

问题如下:

Analyst Bob is studying foreign exchange market. He observes that:

1. The spot exchange market rate is 1.5500 USD/GBP

2. The 6-month Libor for dollars is 0.58, while the 6-month Libor for pounds is 0.62

So, Bob wants to calculate the USD/GBP exchange rate in 6 months but he finds that the forward currency contracts are not available. Which international parity condition should he use?

选项:

A.

Uncovered interest rate parity.

B.

Both covered interest rate parity and Uncovered interest rate parity.

C.

Covered interest rate parity.

解释:

A is correct.

考点Interest rate parity

解析解题的关键在与题目中一句话"the forward currency contracts are not available."这就表明因为没有远期合约的参与所以没有套利机制保证covered interest rate parity成立所以这时只能选用Uncovered interest rate parity

没有forward contract就没有,为什么不能直接利用covered interest rate parity 来算F呢?为什么只能在有forward contract的前提下,才能用covered interest rate parity去算F呢?

请帮忙解答,谢谢。

1 个答案

源_品职助教 · 2020年03月02日

嗨,努力学习的PZer你好:


因为 covered interest rate parity 前提就是无套利

实现无套利的条件就是市场上要有衍生品工具去消除套利行为。

所以如果没有 forward contract ,那便违反了covered interest rate parity的假设。所以就不能用。


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努力的时光都是限量版,加油!


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NO.PZ2018091706000048问题如下 Analyst Bob is stuing foreign exchange market. He observes that:1. The spot exchange market rate is 1.5500 USG2. The 6-month Libor for llars is 0.58, while the 6-month Libor for poun is 0.62So, Bob wants to calculate the USGexchange rate in 6 months but he fin ththe forwarcurrencontracts are not available. Whiinternationparity contion shoulhe use?A.Uncovereinterest rate parity.B.Both covereinterest rate parity anUncovereinterest rate parity.C.Covereinterest rate parity.A is correct.考点Interest rate parity 解析解题的关键在与题目中一句话\"the forwarcurrencontracts are not available.\"这就表明因为没有远期合约的参与,所以没有套利机制保证covereinterest rate parity成立,所以这时只能选用Uncovereinterest rate parity。老师时间久了真的彻底一点印象都没有,在哪个里回看?

2023-11-01 22:31 1 · 回答

 如果这个题目说有forwarcontract的存在,我们选covere? 因为我在想,要是有有forwarcontract,我们干嘛还要算forwarcontract呀? forwarcontract里面写的不就是不就是等于大F,不也等于我们要去求的forwarspot rate么?

2019-11-16 15:17 3 · 回答

条件里6个月算是中短期吧,uncovere成立所以不用啊?

2019-10-18 07:57 1 · 回答

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2018-12-16 14:55 1 · 回答