"economics"exercise:NZD/GBP forward rate

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來源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2020/10/26 09:37:22　字體：大小

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Questions 1:

A research report produced by a dealer includes the following exchange rates:

economics exercise:NZD/GBP forward rate

The expected appreciation (%) of the Canadian dollar (CAD) relative to the British pound (GBP) is closest to:

A、 –3.00

B、 3.09.

C、 0.70.

Questions 2:

The following information is available:

New Zealand dollar (NZD) to British pound (GBP) spot exchange rate: 2.0979

Libor interest rates for the British pound: 1.6025%

Libor interest rates for the New Zealand dollar: 3.2875%

All Libor interest rates are quoted on a 360-day year basis

The 180-day forward points (scaled up by four decimal places) in NZD/GBP is closest to:

A、 39.

B 、348.

C、 176.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct.

economics exercise:NZD/GBP forward rate

【Answer to question 2】C

【analysis】

C is correct. Covered interest arbitrage will ensure identical terminal values by investing the same initial amounts at the respective country’s domestic interest rates:

economics exercise:NZD/GBP forward rate

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