I have yet to read PM but I am comfortable with these things from econ and derivatives...
Without getting into the "wording" or negative IRP and positive IRP, cause i wonder if that would get confusing depending from which currency you are looking at it...?
Just thing of this
if euro is paying 5% rf, and USD is paying 6% risk free
why the F is the USD paying more? these opportunities should not exist, and the explanation is that the USD is paying more because it is going to depreciate in value, and thus it is paying more to make up for that fact....thus the USD will trade at a forward discount....
that is the answer from an econ expectations view etc....
actually a better explanation is from an arbitrage view
if the cost of 1$ today is 0.5 euro
to sell you 1$ in a year
i need to buy (1/1.06) $ today
it will cost me 0.5 euro
and i will want to earn 5% on those euros
so the formulas becomes (0.5/1.06)*1.05
since your multiplying buy 1.05 and deviding by 1.06, the value must "shrink"
to 0.495
if the price was higher than that in the future, i will sell the future and make money...
发表于 2011-7-11 19:23
|