题目
Estimate the forward rate of a 6-month foreign exchange rate contract. USD LIBOR is 6% and EUR LIBOR is 4%. The current exchange rate is 0.8800 USD per EUR. Assumes continuous compounding.
选项
A.0.9240
B.0.9064
C.0.8976
D.0.8888
答案
D
解析
The interest rate parity theorem can be used to find the equilibrium forward EUR/USD rate. Since the spot foreign exchange rate is given as USD per EUR, treat the USD LIBOR rate of 4 percent as the foreign interest rate. Assumes continuous compounding, we can conclude:「huixue_img/importSubject/1564169523492425728.png」