问题如下:
Based on Exhibit 2, Underwood should conclude that three-month EUR Libor
is:
选项:
A. below three-month GBP Libor.
B. equal to three-month GBP Libor.
C. above three-month GBP Libor.
解释:
A is correct.
The positive forward points for the GBP/EUR pair shown in Exhibit 2 indicates that the EUR trades at a forward premium at all maturities, including three months. Covered interest rate parity
suggests a forward rate greater than the spot rate requires a non-domestic risk-free rate (in this case, the GBP Libor) greater than the domestic risk-free rate (EUR Libor). When covered interest rate parity is violated, traders can step in and conduct arbitrage.
考点:Interest rate parity
解析:根据利率平价理论,我们可以得到如下公式:
现在根据表二,上式左边大于右边。因此,上式右边括号里的数值一定大于1。所以该项中分子的利率要大于分母处的利率。所以选A。
这道题的解题时路是?