NO.PZ2019010402000004
问题如下:
A manager holds a short position in an RMB/USD forward contract with remaining maturity of three months. At initiation, the forward rate is 7 RMB/USD. The current spot exchange rate is 7.3 RMB/USD, and the annually compounded risk-free rate is 5% for the RMB and 2% for the USD. The value of this position is:
选项:
A. 0.4985
B. -0.3489
C. 0.3489
解释:
B is correct.
考点:currency forward 求value
解析:
这一题首先应该看清楚头寸是short position,对于currency的标价来说,头寸都是针对斜杠后面的货币,在这一题中,即卖USD,买RMB。
画图:
所以,
没有理解short position为何结果就是负数