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Sophie助教
2019-12-09 18:29
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同學(xué)你好，
10是三角套匯的問(wèn)題，根據(jù)表格的數(shù)據(jù)可求 ZAR/SEK =(1.0218/0.9149) = 1.1168, 跟1.121不一樣，所以有套利空間。
SEK 1,000,000 × (1.1210 – 1.1168) = ZAR 4200
11 就是計(jì)算forward points, 直接做減法，0.14193 – 0.1378 = 0.00413, 10,000 × 0.00413= 41.3 points. B
12 就是根據(jù)forward rate 和forward point 求 spot rate
Spot rate × (1 + Forward points as a percentage) = Forward rate
Spot rate × (1 + 0.068) = 1.0123
Spot = 1.0123/1.068 =0.9478
13.forward discount意思就是 forward rate小于spot rate
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