Spot Rate bid ask
DM／＄ 2.2103 2.2135
One-Year Interest Rates
$ 4.00% 6.00% p.a.
DM 3.00% 5.00% p.a.
6. The one-year forward bid price for dollars as denominated in DM is
①2.2348②2.1892③2.2780④2.1477
7. The one-year forward ask price for dollars as denominated in DM is
①2.2348②2.1892③2.2780④2.1477
8. If the market quotes the one-year forward bid and ask price for dollars
as denominated in DM are 2.2530 and 2.3530. You find an arbitrage
opportunity and
①buy one-year forward dollar at DM2.3530
②sell one-year forward dollar at DM2.2530
③no arbitrage opportunity at all
④hard to judge right now.
9. Then, you borrow ①DM2.1284②DM2.1971③＄0.9434④＄0.9524 from the bank.
10. Convert the currency into
①DM2.0852②＄0.9616③DM2.1051④＄0.9940 at the spot market.
11. And deposit this money in the bank. One year later, the bank will deliver
①DM2.1682②DM2.1478③＄1④＄1.0338 to you.
12. The forward contract expires and you use this money to settle the forward
contract. You will receive
①DM 2.2348②DM 2.2530③DM 2.3530④DM 2.1477
13. Pay the principal and interest
①DM 2.3530②DM 2.2530③DM 2.2348④DM 2.1477 back to the bank.
14. Your arbitrage profit is ①DM 0.1182②DM 0.1053③DM 0.0638④DM 0.0182
高應大金資所好熱門，大家都在問他的問題XD
這篇很長，對不起大家，謝謝你把他看完~~~拜託教教我T_T
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