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Chapter1ForeignExchangeForeignExchangeQuotationsWhatisExchangeRates?ExchangeratesrelatetopriceslevelsintwocountriesPricelevelofasinglecountrydependsonthesupplyanddemandformoneyinthecountryValueofmoneyisdeterminedbysupplyanddemandinthedomesticeconomy.ItsvalueinrelationtoforeigncurrenciesisalsodeterminedbysupplyanddemandForeignExchangeQuotationsForeignExchangeQuotationsBasicprinciplesandtheforexquotationconventionMostcurrenciesinworldwideforeignexchange(forex)markets,alltradestakeplaceusingoneconventionSomesymbols:a:b=S€:$=1.25and$:€=0.80$:€definedasthenumberofeurosperdollar€:$definedasthenumberofdollarspereuroForeignExchangeQuotationsTheForexconventionspecifiesratesforallcurrenciesperdollar(asinY/$),exceptforthepound($/?)andtheeuro($/€).Differentiation:$/€→
€:$
FromthetwocurrenciesagainstU.S.dollar,wecanderivethecross-exchangeratebetweenthetwocurrencies.ForeignExchangeQuotationsForeignExchangeQuotationsForeignExchangeQuotationsForeignExchangeQuotations貨幣名稱貨幣簡(jiǎn)稱貨幣名稱貨幣簡(jiǎn)稱人民幣CNY美元USD日元JPY歐元EUR英鎊GBP澳大利亞元AUD瑞士法郎CHF加拿大元CAD港幣HKD新西蘭元NZD韓國(guó)元KRW馬來(lái)西亞林吉特MYR新加坡元SGD菲律賓比索PHP俄羅斯盧布SUR泰銖THBForeignExchangeQuotationsDirectandindirectexchangerateQuotationsaregenerallymadeintermsoftheamountofdomesticcurrency(DC)requiredtopurchaseoneunitofforeigncurrency(FC)iscalleddirectexchangerateAmountofforeigncurrencyrequiredtopurchaseoneunitofdomesticcurrencyiscalledindirectexchangerate1USD=6.68RMBdirectexchangerate(inChina)1RMB=0.149USDindirectexchangerate(inChina)ForeignExchangeQuotationsInNewYorkandLondon,tradersuseindirectquotations.TheJapanesequotethedollarexchangerateas120Y/$($:Y)(120yenperdollar),adirectrateinJapan.BecauseofthecentralroleplayedbytheU.S.dollar,incountriesotherthantheUnitedStates,allexchangerateswiththedollarareusuallygivenasdirectrates,thedomesticcurrencyvalueofonedollar.ForeignExchangeQuotationsSomeexceptionsTheBritishpoundplayedahistoricalroleontheinternationalscene,ithasalwaysbeenquotedasthedollarpriceofonepound.Whentheeurowasintroducedin1999,itisquotedtheforeigncurrencyvalueofoneeuro,includingthedollar.鏈接:英鎊的興衰英國(guó)在1816
宣布金本位制,1821年正式實(shí)行。此后,很多國(guó)家采用了金本位制,成為一種世界性的制度。英鎊是這一國(guó)際貨幣體系的中心。首先,英國(guó)經(jīng)濟(jì)是世界最強(qiáng)。1860年時(shí),世界的出口有三分之一涌向英國(guó)。同時(shí),英國(guó)也大量向世界各地出口機(jī)器制成品和服務(wù)。其次,英國(guó)金融業(yè)十分發(fā)達(dá)。倫敦當(dāng)時(shí)執(zhí)世界金融業(yè)的牛耳,銀行林立,國(guó)際金融客戶紛至沓來(lái)。鏈接:英鎊的興衰英國(guó)是“世界的銀行家”。英國(guó)的對(duì)外投資,占世界全部投資的40%。世界貿(mào)易的60%以英鎊定價(jià)、結(jié)算和融資。許多國(guó)家把國(guó)際儲(chǔ)備存放在倫敦。1899年,世界外匯儲(chǔ)備的64%是英鎊。英鎊當(dāng)時(shí)風(fēng)靡世界。很多國(guó)家如澳大利亞、新西蘭和南非等,直接就以英鎊為貨幣。其他如加拿大等,英鎊則是平行于其本國(guó)貨幣的法償貨幣。更多的國(guó)家將其貨幣釘住英鎊。這些國(guó)家和地區(qū)后來(lái)構(gòu)成龐大的英鎊區(qū),涵蓋70多個(gè)國(guó)家和地區(qū)。鏈接:英鎊的興衰第一次世界大戰(zhàn)是英鎊命運(yùn)的轉(zhuǎn)折點(diǎn)。英國(guó)由投資國(guó)逆轉(zhuǎn)為負(fù)債國(guó)。1971年,英鎊實(shí)施自由浮動(dòng),英鎊區(qū)解體。1985年3月曾一度跌至1英鎊兌換1.03美元的歷史低點(diǎn)。以后英鎊改為“尾隨馬克”,英國(guó)利率政策聽(tīng)命于德國(guó)。導(dǎo)致先是因追隨德國(guó)低利率而使國(guó)內(nèi)通脹迅速上漲。爾后德國(guó)利率上升,英國(guó)隨之提高利率,而剛好與國(guó)內(nèi)經(jīng)濟(jì)形勢(shì)背道而馳。鏈接:英鎊的興衰英國(guó)在1990年10月又匆匆按1英鎊兌2.95馬克的匯率參加了歐洲匯率機(jī)制(ERM),這一匯率過(guò)高但是不能變動(dòng)。導(dǎo)致利率匯率雙雙過(guò)高,無(wú)法維持固定匯率。1992年9月16日英鎊經(jīng)歷“黑色星期三”,索羅斯單挑英格蘭銀行,從賣(mài)空英鎊中獲利將近10億美元。英國(guó)政府共投入270億英鎊,結(jié)果慘敗。英國(guó)政府期間共損失34億英鎊。英國(guó)就此退出歐洲匯率機(jī)制。鏈接:英鎊的興衰退出ERM后,英格蘭銀行設(shè)立了獨(dú)立的貨幣政策委員會(huì)自主決定利率,并把貨幣政策改為釘住通貨膨脹目標(biāo)。此后,英國(guó)的通貨膨脹一直在低水平上游走,產(chǎn)出的波動(dòng)也很溫和。特別是失業(yè)率比從前低了很多。英鎊也逐漸走強(qiáng),甚至超過(guò)了參加ERM時(shí)的價(jià)位。2010年后歐洲主權(quán)債務(wù)危機(jī)爆發(fā)。市場(chǎng)的注意力轉(zhuǎn)移到了比英國(guó)更危急的歐元體系。此后,英鎊短期內(nèi)從2008年12月的低點(diǎn),上升了將近20%。ForeignExchangeQuotationsExchangeratedigitsandappreciation/depreciationIntheforexmarket,quotationsaregenerallygivenwithfivedigits.$/€=1.2515Anappreciationoftheforeigncurrencycoincideswithadepreciationofthedomesticcurrency.DomesticcurrencyForeigncurrencyIndirectexchangerateDirectexchangerateappreciationdepreciationincreasesdecreasesdepreciationappreciationdecreaseincreasesExample1?:$=1.80WhatisthedirectorindirectexchangerateintheU.S.?WhatisthedirectorindirectexchangerateinBritain??:$=1.90Whichcurrencyisappreciated?Whichcurrencyisdepreciated?Example1SOLUTION?:$=1.80→1GBP:1USD=1.80→1GBP=1.80USD從定義看:直接匯率指1單位的外國(guó)貨幣兌換多少本國(guó)貨幣從方向看:左邊的貨幣是被標(biāo)價(jià)貨幣,若外國(guó)貨幣被標(biāo)價(jià)則為直接標(biāo)價(jià),若本國(guó)貨幣被標(biāo)價(jià)則為間接標(biāo)價(jià)。?:$?$/?即一英鎊兌換多少美元?每英鎊的美元價(jià)值
Example1FromU.S.perspective:Directexchangerate→?:$=1.80Indirectexchangerate→$:?=1:(?:$)=0.556FromBritainperspective:Directexchangerate→$:?=1:(?:$)=0.556Indirectexchangerate→?:$=1.80Whichisappreciated?Whichisdepreciated??:$=1.90表示1英鎊兌換的美元數(shù)量更多,因此英鎊相對(duì)于美元升值了,而美元相對(duì)于英鎊貶值了ForeignExchangeQuotationsBid-ask(offer)pricesTheforeignexchangemarketisaworldwideinter-bankmarketincludingonlymajorbanksandspecializedbrokerswhoactasmiddlemenforsomelocalmarkets,whichislinkedbytelephone.Themarketisorganizedlikeaninternationalover-the-countermarket.ForeignExchangeQuotationsTheforeignexchangedealerquotestwoprices:bidpriceandask(offer)price.Thebidpriceistheexchangerateatwhichthedealeriswillingtobuyacurrency.Theask(offer)priceistheexchangerateatwhichthedealeriswillingtosellacurrency.Themidpointpriceistheaverageofthebidandaskprice:(ask+bid)/2.ForeignExchangeQuotationsPayinga$0.9839/euroaskrateisequivalenttoacounter-partybidding1/0.9839=€1.0164perdollar.TheDC/FCdirectaskexchangerateisthereciprocaloftheindirectbidexchangerate.TheDC/FCdirectbidexchangerateisthereciprocaloftheindirectaskexchangerate.ForeignExchangeQuotationsForbothdirectandindirectquotes,thebid-askspreadcanbegivenasapercentagedefinedas100times(askprice–bidprice)/askprice.100%*(0.9839-0.9836)/0.9839=0.0305%→directrate100%*(1.0167-1.0164)/1.0167=0.0295%→indirectrateForeignExchangeQuotationsSpreadsdifferasaresultofmarketconditionsandtradingvolume.Thesizeofbid-askspreadincreaseswithexchangerateuncertaintybecauseofbank/dealerriskaversion.Spreadsarelargerforcurrenciesthathavealowtradingvolume(thinlytradedcurrencies).鏈接:
莫斯科各銀行提高外匯買(mǎi)賣(mài)價(jià)差俄新網(wǎng)莫斯科2010年5月7日電由于美元和歐元兌盧布的匯率大幅上升,莫斯科銀行紛紛在各自外匯兌換點(diǎn)提高外匯買(mǎi)賣(mài)價(jià)差。外匯市場(chǎng)的局勢(shì)穩(wěn)定的時(shí)候,外匯買(mǎi)賣(mài)價(jià)差一般會(huì)在10至20個(gè)戈比之間。當(dāng)匯率出現(xiàn)大幅度波動(dòng)時(shí)候,買(mǎi)賣(mài)價(jià)差則擴(kuò)大到1個(gè)盧布,甚至更多。本周三和周四兩天,美元匯率上升1盧布,而歐元上漲0.4盧布。周五截至11點(diǎn)30分(莫斯科時(shí)間),莫斯科銀行間外匯交易系統(tǒng)的平均匯率與周四相比再次上升42戈比,達(dá)到1美元兌30.72盧布。盧布貶值的原因是石油價(jià)格下跌和投資人打算拋售盧布資產(chǎn)。總體上,從周四開(kāi)始外匯買(mǎi)賣(mài)價(jià)差不斷擴(kuò)大。周五早晨歐元和美元兌盧布匯率買(mǎi)賣(mài)價(jià)差最高達(dá)到1盧布。ForeignExchangeQuotationsThesizeofthebid-askspreaddoesnotdependonbank/dealerpositions.Themidpointofthespreadmovesinresponsetodealerpositions.Adealerwithexcesssupplyofaforeigncurrencywouldmovethemidpointofhisdirectquotedown.Adealerquotingalargespreadrelativetootherdealerswillbasicallynottrade.Position-頭寸頭寸也稱為“頭襯”就是款項(xiàng)。銀行當(dāng)日的全部收付款中收入大于支出款項(xiàng),就稱為“多頭寸”,付出大于收入款項(xiàng),稱為“缺頭寸”。暫時(shí)未用的款項(xiàng)大于需用量時(shí)稱為“頭寸松”,資金需求量大于閑置量時(shí)就稱為“頭寸緊”。外幣交易中,“建立頭寸”是開(kāi)盤(pán)的意思。開(kāi)盤(pán)也叫敞口,就是買(mǎi)進(jìn)一種貨幣,同時(shí)賣(mài)出另一種貨幣的行為。開(kāi)盤(pán)后,長(zhǎng)了(多頭)一種貨幣,短了(空頭)另一種貨幣。選擇適當(dāng)?shù)膮R率水平以及時(shí)機(jī)建立頭寸是盈利的前提。凈頭寸是指開(kāi)盤(pán)后獲取的一種貨幣與另一種貨幣之間的交易差額。ForeignExchangeQuotations-
Example2ExchangeratequotesandFrenchbondsAU.S.portfoliomanagerwantstobuy$10millionworthofFrenchbonds.Themanagerwantstoknowhowmanyeuroscanbeobtainedtoinvestusingthe$10million.Portfoliomanemanagercallsseveralbankstogettheir€/$quotation.BankA:€/$=0.80000-0.80020BankB:€/$=0.79985-0.80005BankC:€/$=0.79995-0.80015BidpriceAsk
priceForeignExchangeQuotations-
Example2Notethattheaskforallthreequotationsadd0.00020tothebid.Howmanyeuroswilltheportfoliomanagergettoinvest?SOLUTIONThemanagerwillimmediatelychooseBankAandindicatethatshewillbuy8millioneurosfor$10million.ArbitrageArbitrageArbitragekeepsexchangeratesinlinewitheachotherandwithrisk-freeinterestrates.Triangulararbitrageandcross-ratesinvolveexchangeratesbetweenthreecurrenciesandtherisk-lessprofit-seekingmotivethatpushesexchangeratesintoalignmentwitheachother.Acrossrateistheexchangeratebetweentwocountriesinferredfromeachcountry'sexchangeratewithathirdcountry.Arbitrage-crossratesAsimpleexamplethedollarpereuroexchangerateis0.9836($/€)thedollarperpoundrateis1.5231($/?)Theeuropoundcross-ratecanbecalculatedbymultiplyingtheeuroperdollarrate(1/0.9836)bythedollarperpoundrate:(1/0.9836)*1.5231=1.5485,or€1.5485perpoundArbitrage-crossratesWecanfindouttheequationofcrossrateswithoutthinkingofbid-askexchangerate.Giventwoexchangerates:FC1/DC=S1FC2/DC=S2FC1/FC2=(FC1/DC)/(FC2/DC)=(FC1/DC)*(FC2/DC)Anotherdemonstration:DC:FC1=S1DC:FC2=S2FC2:FC1=(DC:FC1):(DC:FC2)Arbitrage-Example3REVIEWIf€/$=$:€=0.80Y/$=$:Y=120SoY/€=€:Y=($:Y):($:€)=120:0.8Arbitrage-Example3SOLUTION(Y/€)bid=(€:Y)bid
(€:Y)bid→目標(biāo)為銀行買(mǎi)入€賣(mài)出Y→銀行先要買(mǎi)入$
賣(mài)出Y→($:Y)bid→然后銀行要買(mǎi)入歐元賣(mài)出美元→(€:$)bid(€:Y)bid=($:Y)bid*(€:$)bid由于(€:$)bid=1/($:€)ask
所以(€:Y)bid=($:Y)bid*(€:$)bid=($:Y)bid/($:€)ask(€:Y)bid=120.00/0.80020=149.96Exercise:calculate(Y/€)askArbitrage-Example3Toverifythatthecalculationshavebeenmadecorrectly,therearetwochecks.RightdirectionMaximizingbid-askspreadArbitrage-Example3Lookatthesymbols.TogetY/€,wedividetheY/$by€/$rate.Observethatthe$symboldisappears:Y/€=Y/$/€/$ORY/€=Y/$*$/€Maximizethebid-askspreadTogetthebidcross-rate,whichisthesmallerrate,putthesmallerfigure(thebid-Y/$)inthenumeratorandthelargerfigure(theask-€/$)inthedenominator.Togettheaskcross-rate,dothereverse.Arbitrage(FC1/FC2)ask=(FC1/DC)ask*(DC/FC2)ask(FC1/FC2)bid=(FC1/DC)bid*(DC/FC2)bid(FC2/FC1)ask=(DC/FC1)ask*(FC2/DC)ask(FC2/FC1)bid=(DC/FC1)bid*(FC2/DC)bid(FC2/FC1)ask=1/(FC1/FC2)bid
(FC2/FC1)bid=1/(FC1/FC2)ask
Arbitrage-ThelawofonepriceHowdoesanarbitrageopportunityoccur?Arbitragealignsexchangeratequotationsthroughouttheworld.Thequotationforoneexchangeratemustbethesameatagiveninstantworldwide.Ifquotationsweretodeviatebymorethanthespread,asimplephonecalwouldallowatradertomakeenormousprofits.Arbitrage-ThelawofonepriceWhatisthelawofoneprice?Thelawofonepriceindicatesthattheexchangeratequotesintwocountriesshouldbethesamewithinatransactioncostband.Arbitrage-ThelawofonepriceWithexchangeratebetweentwocountries,thebid-askspreadinonecountryshouldbealignedwiththeother,orabilateralarbitrageopportunitywouldbepresent.Atriangulararbitrageopportunityoccursifthequotedcross-ratebetweentwocurrenciesishigherorlowerthanthecross-rateimpliedbytheexchangeratesofthetwocurrenciesagainstathirdcurrency.鏈接:一價(jià)定律一戰(zhàn)以前,各國(guó)貨幣都規(guī)定黃金含量,持有貨幣可以自由兌換黃金。兩國(guó)貨幣的匯率,就是貨幣的含金量之比,稱為鑄幣平價(jià)。比如,1英鎊含黃金113.0格令,1美元含黃金23.3格令,兩國(guó)貨幣的鑄幣平價(jià)就是4.9,因而英鎊兌美元的匯率就是1:4.9。受市場(chǎng)行情的影響,匯率也會(huì)有所波動(dòng),但由于有黃金作保證,匯率波動(dòng)的幅度很小,故此時(shí)的匯率稱為固定匯率。鏈接:一價(jià)定律一戰(zhàn)期間,各國(guó)大量發(fā)行紙幣,紙幣含金量無(wú)法保證,不能兌換黃金,鑄幣平價(jià)隨之瓦解。戰(zhàn)爭(zhēng)結(jié)束后,1922年瑞典學(xué)者卡塞爾出版了《1914年以后的貨幣和外匯》一書(shū),提出購(gòu)買(mǎi)力平價(jià)說(shuō),認(rèn)為應(yīng)根據(jù)各國(guó)貨幣的購(gòu)買(mǎi)力來(lái)確定它們之間的匯率。此說(shuō)一出,各國(guó)政府按圖索驥,紛紛重定匯率。鏈接:一價(jià)定律購(gòu)買(mǎi)力平價(jià)說(shuō)的前提是,兩國(guó)之間貿(mào)易自由,商品、勞務(wù)交流,不受關(guān)稅、配額限制,即便有限制,雙方外貿(mào)政策對(duì)等,沒(méi)有相互歧視。同時(shí),假設(shè)兩國(guó)商品的運(yùn)輸成本也大致相同??ㄈ麪柕耐普撌牵瑯迂浳餆o(wú)論在哪里銷(xiāo)售,其價(jià)格必然相等。即若世界上只有一種貨幣,那么在任何地方購(gòu)買(mǎi)同質(zhì)的商品,花費(fèi)都應(yīng)該一樣。此推論被稱為“一價(jià)定律”。鏈接:一價(jià)定律各國(guó)貨幣不可能相同,由“一價(jià)定律”可推出的含義是,兩種貨幣匯率等于它們的購(gòu)買(mǎi)力之比。比如一個(gè)漢堡包在美國(guó)賣(mài)1美元,在日本賣(mài)150日元,即1美元相當(dāng)于150日元的購(gòu)買(mǎi)力,美元兌日元的匯率是1:150。如果一國(guó)的貨幣購(gòu)買(mǎi)力下降,商品的國(guó)內(nèi)價(jià)格上升,該貨幣就會(huì)對(duì)外等比例貶值;反之,購(gòu)買(mǎi)力上升,貨幣則會(huì)相應(yīng)升值。Arbitrage-TriangulararbitrageStepsincalculatingtheprofitofatriangulararbitragePickthecross-ratecurrency.Determinewhetherthecross-ratebid-askquotesareinlinewiththedirectquotes.Determinewhetheritischeapertobuyforeigncurrencydirectlyorindirectly(throughthecross-quotedcurrency).Arbitrage–Example5Thedirectexchangerateis2DCunitsfor1FC1unit,and3DCunitsfor1FC2unit.Thequotedcross-rateis1.48FC1for1FC2unit.Isthereanarbitrageopportunity?Arbitrage–Example5Thequotedcross-rateislessthanthecross-rate.with1DCunit,buy0.5FC1units;convertto0.5/1.48=0.33784FC2units;andthenconvertto0.33784*3=1.0135DCunits.1DC=0.5FC1→0.5/1.48=0.33784FC2→0.33784*3=1.0135DCInvestorsgot(1.0135-1)DCunitsForwardQuotesSpotexchangerateSpotexchangeratesarequotedforimmediatecurrencytransactionsinpracticethesettlementtakesplace48hourslaterSpottransactionsareusedextensivelytosettlecommercialpurchasesofgoods,aswellasforinvestment.ForwardQuotesForwardexchangerateForwardexchangeratesarecontractedtodaybutwithdeliveryandsettlementinthefuture,usually30or90dayshence.Abankmayquotetheone-month€/$exchangerateas0.80200-0.80250.Thismeansthebankiswillingtocommititselftodaytobuydollarsfor0.80200euroortosellthemfor0.80250euroinonemonth.ForwardQuotesInaforward,orfutures,contractwhichisacommitmentisirrevocablymadeonthetransactiondate.butdelivery,thatis,theexchangeofcurrency,takesplacelater,onadatesetinthecontract.Liquiditydecreaseswiththeincreasingmaturityoftheforwardcontract.Bid-askspreadsincreaseswiththeincreasingmaturityofthecontract.ForwardQuotes–
PremiumanddiscountForwardexchangeratesareoftenquotedasapremium,ordiscount,tothespotexchangerate.Withaquoteshowingthecurrencypriceofonedollar,thereisapremiumonthedollarwhentheforwardexchangerateishigherthanthespotrateandadiscountotherwise.Thedollaris“strong”relativetotheothercurrency,asitsforwardvalueishigherthanitsspotvalue.ForwardQuotes–
PremiumanddiscountAsimpleexampleIftheonemonthforwardexchangerateis€/$=0.80200andthespotrateis€/$=0.80000.thedollarquoteswithapremiumof0.0020europerdollar.ForwardQuotes–
PremiumanddiscountIfacurrencyquotesatadiscount,thediscountshouldbesubtractedtoobtaintheforwardrate.AsimpleexampleSpotexchangerate$:Y=120.5Three-monthdiscount0.5Y/$Three-monthforwardexchangerate120.5-0.5=120ForwardQuotes–
PremiumanddiscountAnnualizedforwardpremium:ForwardQuotes–
PremiumanddiscountAsimpleexampleSpotrate:€/$=0.80000One-monthforwardexchangerate:€/$=0.80200AnnualizedforwardpremiumonthedollarInterestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity(IRP)isarelationshiplinkingspotexchangerates,forwardexchangerates,andinterestrates.Fortwocurrencies,theinterestrateparityrelationshipisthattheforwarddiscount(premium)equalstheinterestratedifferentialbetweenthetwocurrencies.Theproductoftheforwardrateandoneplusthedomesticrisk-freerateequalstheproductofthespotratemultipliedbyoneplustheforeignrisk-freerate.(indirectrates)Interestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity:theforwarddiscountandtheinterestratedifferentialSpotexchangerate$:€=0.8One-yearinterestrates€:14%$:10%Totakeadvantageoftheinterestratedifferential,aspeculatorcouldborrow$units(at10%),convertthemimmediatelyinto€units,andinvest€(at14%).Attheendoftheperiod,attime1,thespeculatormustconvert€into$atanunknownratetohonortheclaimin$borrowed.Interestrateparity:theforwarddiscountandtheinterestratedifferentialThispositionmaybetransformedintoacovered(risk-less)interestratearbitragebysimultaneouslybuyingaforwardexchangeratecontracttorepatriate€into$inoneyearataknownforwardexchangerateof0.808€/$.theinvestorstillbenefitsontheinterestratedifferential(againof4%),butlosesontherepatriationof€into$ontheforwardcontract.Interestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity:theforwarddiscountandtheinterestratedifferentialInoneyear,theexchangeratelosswillbeequalto:Per$
borrowed,thenetgainonthepositionis3%.Thisgainiscertainattime0,becauseallinterestratesandexchangeratesarefixedatthattime.Nocapitalisinvestedintheposition,whichisapureswapwithsimultaneousborrowingandlending.Interestrateparity:theforwarddiscountandtheinterestratedifferentialIfsuchrateswerequotedinreality,bankswouldarbitragetoexploitthisrisk-lessprofitopportunity.Enormousswapscouldoccur,
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