Q11. The U.S. interest rate is 4%, the Jordan interest rate is 7% and the $/JOD spot rate is 2.0010. What is the $/JOD forward rate that satisfies interest rate parity?

A)      $1.9450 / JOD.

B)      $0.5142 / JOD.

C)      $1.0936 / JOD.

Q12. A resident of China can invest in Chinese yuan at 5.5% or in Egyptian pounds at 6%. The current spot rate is 80 CY/EGP. What is the one-year forward rate expressed in CY/EGP?

A)    80.3792.

B)    79.6226.

C)    88.9876.

Q13. An investor can invest in Tunisian dinar at r = 6.25% or in Swiss francs at r = 5.15%. She is a resident of Tunisia and the current spot rate is 0.8105 TND/SF. What is the approximate one-year forward rate expressed in TND/SF?

A)   0.8016.

B)   0.8215.

C)   0.8194.

答案和详解如下：

Q11. The U.S. interest rate is 4%, the Jordan interest rate is 7% and the $/JOD spot rate is 2.0010. What is the $/JOD forward rate that satisfies interest rate parity?

A)      $1.9450 / JOD.

B)      $0.5142 / JOD.

C)      $1.0936 / JOD.

Correct answer is A)

Forward(DC/FC) = Spot (DC/FC)[(1 + r domestic) / (1 + r foreign)]

(2.0010)(1.04/1.07)

(2.0010)(0.972)

= 1.9450

Q12. A resident of China can invest in Chinese yuan at 5.5% or in Egyptian pounds at 6%. The current spot rate is 80 CY/EGP. What is the one-year forward rate expressed in CY/EGP?

A)    80.3792.

B)    79.6226.

C)    88.9876.

Correct answer is B)

Forward (DC/FC) = Spot (DC/FC)[(1 + r_domestic) / (1 + r_foreign)]

(80 CY/EGP)[(1 + 0.055) / (1 + 0.06)]

(80)(0.99528)

= 79.6226

Q13. An investor can invest in Tunisian dinar at r = 6.25% or in Swiss francs at r = 5.15%. She is a resident of Tunisia and the current spot rate is 0.8105 TND/SF. What is the approximate one-year forward rate expressed in TND/SF?

A)   0.8016.

B)   0.8215.

C)   0.8194.

Correct answer is C)

The approximate forward premium/discount is given by the interest rate differential. This differential is: 6.25% − 5.15% = 1.10%. Since Tunisia has higher interest rates, its currency will be at a discount in the forward market. This discount equals: 0.011 × 0.8105 = 0.0089. Since the exchange rate is quoted in TND/SF, as a depreciating currency, it will take more TND to buy one SF. The forward rate is thus: 0.8105 + 0.0089 = 0.8194 TND/SF. In other words, the SF is stronger in the forward market.

thanks