答案如下
A forward rate between Swiss francs and U.S. dollars is 1.8 SF/$ and the current spot rate is 1.90 SF/$. The Swiss interest rate is 8.02 percent and the U.S. rate is 11.02 percent. Assume you can borrow francs or dollars and you live in Switzerland. If an arbitrage opportunity exists, how can you take advantage of it?
A) Borrow domestic currency.
B) No arbitrage opportunity exists.
C) Borrow foreign currency.
D) Lend foreign currency.
Your answer: C was correct!
Borrow foreign if 1 + rD > [(1 + rF)(forward rate)]/spot rate
1 + 0.0802 > [(1 + 0.1102)(1.8)]/1.9
1.0802 > 1.99836/1.9
1.0802 > 1.0518 therefore borrow foreign (dollars) and lend domestic (francs).
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发表于 2006-4-3 12:33
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