答案如下
Spot exchange rate US$/CHF = $0.7288
. One year forward exchange rate = $0.7055
. One year interest rate - US = 5.50%
. One year interest rate - Switzerland = 4.50%
answer
An arbitrageur taking advantage of this opportunity would:
1. Borrow (buy) 1M francs in Switzerland at 4.5% for one year.
2. Immediately exchange (sell) the francs for $728,800 (1,000,000 x 0.7288) and purchase a forward contract to buy
CHF for 1/0.7055 = 1.4174/$ in one year.
3. Lend the $728,800 in the US (by buying bonds) at 5.5%, ending the year with $728,800 x 1.055=$768,884.
4. Exchange the dollars for 1.4174 x 768,884 = 1,089,816 CHF (per forward contract).
5. Pay off loan (step 1) with interest, and make a profit of:1,089,816 - 1,045,000 = 44,816 francs.
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发表于 2006-4-3 12:31
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