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临江仙 · 2020年03月07日

问一道题：NO.PZ2019052801000129

  1. FRM I
  2. Financial Markets And Products

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:

FT=6.7523×1.0490/3651.0290/3656.7847F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847

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。

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袁园_品职助教 · 2020年03月08日

同学你好！

一般来说除非特殊情况或者题目中已明确说明的，连续和离散都可以，而且结果也不会相差太大。

这道题如果用连续复利的来算，依然是B答案是最接近的。

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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​=6.7523×1.0290/3651.0490/365​6.7847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​=6.7523×1.0290/3651.0490/365​6.7847 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​=6.7523×1.0290/3651.0490/365​6.7847 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

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​=6.7523×1.0290/3651.0490/365​6.7847已经给了spot price是现价了，为甚么还要乘以利率呢

2021-09-05 15:33 1 · 回答