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:
A.6.3827.
B.6.7847.
C.6.5827.
D.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:
这道题其实没有说是连续还是离散,我两个都计算了,然后只找到离散的,所以就选了。
这里有个问题,如果考试的时候,题目中不说离散还是连续,那计算起来就有点麻烦了。