呂同學(xué)
2018-08-30 10:13請問在這道題中,美元價格下跌時,應(yīng)該借美元買瑞士法郎現(xiàn)貨,那這不是叫做go long CHF futures么?C選項我有點不太明白,請老師解答。
所屬:FRM Part I 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個回答
金程教育吳老師助教
2018-08-30 11:06
該回答已被題主采納
學(xué)員你好。分母看成商品,美元期貨價值低估,所以應(yīng)該long usd futures,答案解析如下:
Correct Answer: C
Step 1. The spot is quoted in terms of Swiss Francs per USD, theoretical future price of
1.368*exp[(0.35%-1.05%)*0.25]=1.3656
Step 2. 3-month future price is USD 0.7350 → 1/0.7350 = 1.3605CHF
Step 3. 1.3656CHF > 1.3605CHF USD future contract is undervalued
Step 4. Arbitrage strategies: short USD (buy CHF) spot, buy USD (short CHF) future
