张同学2022-05-29 14:18:40

官网题衍生23题，汇率104.15哪来了？ The data she uses for her assessment show that the US bonds pay 1.75% and Japanese bonds pay –0.40% annualized. She plans to fully hedge the currency risk. The YEN/USD spot rate is 106.85, the one-year YEN/USD forward rate is 106.12, and the one-year YEN/USD cross currency swap basis is –0.63.A is correct. Stuyvesant can sell US$10,000 converted at a spot rate of 106.85 to invest proceeds of ¥1,068,500 at –0.40%. After one year, the Japanese bonds are sold (1,068,500 × 0.9960 = 1,064,226.00) and converted at the forward rate of 104.15, for proceeds of US$10,218.20. The fund has earned 10,218.20/10,000 – 1 = 2.18%. The 2.18% yield is higher than the 1.75% she could have earned in US Treasury bills. The difference is due to the basis given a high demand for US dollars.