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1、.一、名词1、Americanoption2、foreignexchangerate3、Absolutepurchasingpowerparity、4、CurrencySwap5、FisherEffect6、IntrinsicValue、7、hedge8、CallOption9、MoneyMarkets10、TransactionExposure、11、operatingexposure12、EuropeanOption13、systematicrisk14、thelawofoneprice二、计算1、JasonSmithisaforeignexchangetr
2、aderwithCitibank.Henoticesthefollowingquotes.SpotexchangerateSFr1.6627/$Six-monthforwardexchangerateSFr1.6558/$Six-month$interestrate3.5%peryearSix-monthSFrinterestrate3.0%peryeara.Ignoringtransactioncosts,istheinterestrateparityholding?b.Isthereanarbitragepossibility?Ifyes,whatsteps
3、wouldbeneededtomakeanarbitrageprofit?AssumingthatJasonSmithisauthorizedtoworkwith$1,000,000forthispurpose,howmuchwouldthearbitrageprofitbeindollars?Solution:a.Forsixmonths,rSFr=1.50%andr$=1.75%.BecausetheexchangerateisinSFr/$terms,theappropriateexpressionfortheinterestrateparityrelat
4、ionis,or资料..TheleftsideofthisexpressionisTherightsideoftheexpressionis:1+rSFr=1.0150.Becausetheleftandrightsidesarenotequal,IRPisnotholding.b.BecauseIRPisnotholding,thereisanarbitragepossibility:Because1.0133<1.0150,wecansaythattheSFrinterestratequoteismorethanwhatitshouldbeaspertheq
5、uotesfortheotherthreevariables.Equivalently,wecanalsosaythatthe$interestratequoteislessthanwhatitshouldbeasperthequotesfortheotherthreevariables.Therefore,thearbitragestrategyshouldbebasedonborrowinginthe$marketandlendingintheSFrmarket.Thestepswouldbeasfollows:Ø资料..Borrow$1,000,000fo
6、rsixmonthsat3.5%peryear.Needtopayback$1,000,000×(1+0.0175)=$1,017,500sixmonthslater.ØConvert$1,000,000toSFratthespotratetogetSFr1,662,700.ØLendSFr1,662,700forsixmonthsat3%peryear.WillgetbackSFr1,662,700×(1+0.0150)=SFr1,687,641sixmonthslater.ØSellSFr1,687,641sixmonthsforward.Thetransa
7、ctionwillbecontractedasofthecurrentdatebutdeliveryandsettlementwillonlytakeplacesixmonthslater.So,sixmonthslater,exchangeSFr1,687,641forSFr1,687,641/SFr1.6558/$=$1,019,230.Thearbitrageprofitsixmonthslateris1,019,230–1,017,500=$1,730.2、JohnDuell,aforeignexchangetraderatJ.P.MorganChase
8、,caninvest$5
