Q1. The spot exchange rate is 2 D/F. The foreign return is 15% and the domestic return is 12%. What should the forward exchange rate be?

A)   0.487.

B)   2.576.

C)   1.948.

Q2. The spot and 30-day forward rates for the Euro are $1.1525 and $1.1015, respectively. The Euro is selling at a forward:

A)   discount of $0.051.

B)   discount of 0.956%.

C)   premium of $0.051.

Q3. If the 90-day forward rate for the CAD is USD 0.6503, and the spot rate is USD 0.6403, then the annualized premium is:

A)   1.00%.

B)   1.56%.

C)   6.25%.

Q4. The spot and 30-day forward exchange rates for the Swiss franc (CHF) are 0.59984 CHF/USD and 0.62734 CHF/USD, respectively. Relative to the USD, the CHF is selling at a forward:

A)   differential of 275 points.

B)   premium of $0.073.

C)   discount of $0.073.

Q5. A foreign currency is at a forward premium if the forward rate:

A)     expressed in domestic currency is above the spot rate.

B)     expressed in domestic currency is below the spot rate.

C)     expressed in foreign currency/domestic currency is above the spot rate.

Q6. The current spot rate quote is 2 USD/GBP. A 180 day forward discount for the GBP of 2% (annualized) would reflect a forward price of:

A)   2.02 GBP/USD.

B)   1.98 USD/GBP.

C)   1.96 USD/GBP.

答案和详解如下：

Q1. The spot exchange rate is 2 D/F. The foreign return is 15% and the domestic return is 12%. What should the forward exchange rate be?

A)   0.487.

B)   2.576.

C)   1.948.

Correct answer is C)

We want to create a no arbitrage condition. According to the Interest Rate Parity Theorem, if the following condition does not hold, investors will take advantage of interest rate differentials to capitalize on arbitrage opportunities.

Forward_DC/FC = Spot_DC/FC × [(1 + r_domestic) / (1 + r_foreign)]

This condition is the formal representation of interest rate parity.

Here, Forward_DC/FC = 2_DOM/FOR × [(1 + 0.12) / (1 + 0.15)] = 2_DOM/FOR × 0.97391 = 1.94783 or 1.948.

Note: We can restate the equation to look like the following:

r_domestic − r_foreign = [( Forward_DC/FC − Spot_DC/FC) / Spot_DC/FC]
where = is "approximately equal to"

Q2. The spot and 30-day forward rates for the Euro are $1.1525 and $1.1015, respectively. The Euro is selling at a forward:

A)   discount of $0.051.

B)   discount of 0.956%.

C)   premium of $0.051.

Correct answer is A)

Since the forward date is less than the spot rate, the Euro is selling at a forward discount. The amount of the discount is calculated as follows:

Forward Discount = Forward rate – Spot Rate = $1.1015 - $1.1525 = -$0.051.

Q3. If the 90-day forward rate for the CAD is USD 0.6503, and the spot rate is USD 0.6403, then the annualized premium is:

A)   1.00%.

B)   1.56%.

C)   6.25%.

Correct answer is C)

Annualized premium = [(0.6503 − 0.6403) / 0.6403] × (360 / 90) = 0.625 or 6.25%.

Q4. The spot and 30-day forward exchange rates for the Swiss franc (CHF) are 0.59984 CHF/USD and 0.62734 CHF/USD, respectively. Relative to the USD, the CHF is selling at a forward:

A)   differential of 275 points.

B)   premium of $0.073.

C)   discount of $0.073.

Correct answer is C)

Forward Discount = Forward rate − Spot Rate = (1 / 0.62734) − (1 / 0.59984) = −$0.073

Since the forward rate is less than the spot rate, the Swiss franc is selling at a forward discount. Note that although in percentage terms, ($0.073 / 1.667) = −4.38%, when the forward discount is expressed in percentage terms, it is done so on an annualized basis. The correct forward premium expressed as a percentage would be equal to 0.0438 × (360 / 30) = 52.60%.

Q5. A foreign currency is at a forward premium if the forward rate:

A)     expressed in domestic currency is above the spot rate.

B)     expressed in domestic currency is below the spot rate.

C)     expressed in foreign currency/domestic currency is above the spot rate.

Correct answer is A)

A foreign currency is at a forward premium if the forward rate expressed in domestic currency is above the spot rate. A forward discount exists if the forward rate is below the spot rate.

Q6. The current spot rate quote is 2 USD/GBP. A 180 day forward discount for the GBP of 2% (annualized) would reflect a forward price of:

A)   2.02 GBP/USD.

B)   1.98 USD/GBP.

C)   1.96 USD/GBP.

Correct answer is B)

The GBP is at a forward discount if the forward rate expressed in USD/GBP is below the spot rate. Since the annualized discount is 2%, the 180 day forward discount is 1% of spot, or USD 0.02.

[(1.98 − 2.00) / 2.00](360 / 180) = -2%