国际金融典型题型.doc

一、名词 1、American option 2、foreign exchange rate 3、Absolute purchasing power parity、 4、Currency Swap 5、Fisher Effect 6、Intrinsic Value、 7、hedge 8、Call Option 9、Money Markets 10、Transaction Exposure、11、operating exposure 12、European Option 13、systematic risk 14、the law of one price 二、计算 1、Jason Smith is a foreign exchange trader with Citibank. He notices the following quotes. Spot exchange rate SFr1.6627/$ Six-month forward exchange rate SFr1.6558/$ Six-month $ interest rate 3.5% per year Six-month SFr interest rate 3.0% per year Ignoring transaction costs, is the interest rate parity holding? Is there an arbitrage possibility? If yes, what steps would be needed to make an arbitrage profit? Assuming that Jason Smith is authorized to work with $1,000,000 for this purpose, how much would the arbitrage profit be in dollars? Solution: a. For six months, rSFr = 1.50% and r$ = 1.75%. Because the exchange rate is in SFr/$ terms, the appropriate expression for the interest rate parity relation is , or The left side of this expression is The right side of the expression is: 1 + rSFr = 1.0150. Because the left and right sides are not equal, IRP is not holding. b. Because IRP is not holding, there is an arbitrage possibility: Because 1.0133 1.0150, we can say that the SFr interest rate quote is more than what it should be as per the quotes for the other three variables. Equivalently, we can also say that the $ interest rate quote is less than what it should be as per the quotes for the other three variables. Therefore, the arbitrage strategy should be based on borrowing in the $ market and lending in the SFr market. The steps would be as follows: Borrow $1,000,000 for six months at 3.5% per year. Need to pay back $1,000,000 × (1 + 0.0175) = $1,017,500 six months later. Convert $1,000,000 to SFr at the spot rate to get SFr 1,662,700. Lend SFr 1,662,700 for six months at 3% per year. Will get back SFr 1,662,700 × (1