题目
Given the following:● Current spot rate: 1.3680 (1.3680CHF = 1USD)● 3-month USD interest rates: 1.05%● 3-month Swiss interest rates: 0.35%(Assume continuous compounding)A currency trader notices that the 3-month future price is USD 0.7350. In order to arbitrage, the trader should investment:
选项
A.Borrow CHF, buy USD spot, go long CHF futures
B.Borrow CHF, sell CHF spot, go short CHF futures
C.Borrow USD, buy CHF spot, go short CHF futures
D.Borrow USD, sell USD spot, go long CHF futures
答案
C
解析
Step 1. The spot is quoted in terms of Swiss Francs per USD, theoretical future price of USD=Se(r-r*)t=1.368×e(0.35%-1.05%)×3/12=1.3656CHF Step 2. 3-month future price is USD 0.7350 → 1/0.7350 = 1.3605CHF Step 3. 1.3656CHF > 1.3605CHF USD future contract is undervalued Step 4. Arbitrage strategies: short USD (buy CHF) spot, buy USD (short CHF) future 1.3680是美元的现货价（一单位美元，或者叫一个商品。价格是1.3680CHF）。这个商品的理论期货价是1.3656CHF,而实际的期货价是1.3605CHF（1.3605=1/0.735） 说明这个商品的期货价偏低：所以买入这个商品的期货。卖出这个商品的现货（即买入USD期货，卖出USD现货）。 由于汇率联系的是两种货币。两个货币之间的关系是倒数关系。所以买卖方向是相反的。（卖出USD现货与买入CHF现货是等价的）。borrowUSD的目的是将USD转换成CHF来投资，到期归还。因为arbitrage中，严格的定义是要空手套白狼，即不占用自己的任何资金。