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. ForwardDC/FC = SpotDC/FC × [(1 + rdomestic) / (1 + rforeign)] This condition is the formal representation of interest rate parity. Here, ForwardDC/FC = 2DOM/FOR × [(1 + 0.12) / (1 + 0.15)] = 2DOM/FOR × 0.97391 = 1.94783 or 1.948. Note: We can restate the equation to look like the following: rdomestic − rforeign = [( ForwardDC/FC − SpotDC/FC) / SpotDC/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% | 
发表于 2009-1-13 11:51
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