问题

NO.PZ2019052801000129

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：

6.3827.

6.7847.

6.5827.

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:

$F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847$

请老师画图解析这个题目吧，不太明白谁是domestic rate谁是foreign rate？

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品职答疑小助手雍 · 2022年03月15日

同学你好，题目主语是中国公司，那么domestic currency就是人民币，domestic rate也是就是人民币的利率，对应的foreign的就是美元以及美元的利率。

这题是个直接用利率平价公式求forward rate的定价问题，分子是本地货币，也就是人民币，分母是外币（美元）各自乘以各自的利率90天，获得未来汇率的期望就可以了。

不理解利率平价公式的可以看一下讲义238，以及这部分相关的基础班课程，这个部分挺重要的，如果上课没有理解的话我课下打字肯定不能像老师上课讲的那么细。

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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=6.7523×1.0290/3651.0490/3656.7847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=6.7523×1.0290/3651.0490/3656.7847 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 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=6.7523×1.0290/3651.0490/3656.7847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

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