题目3750 · 随机过程
FX Claim Paying One Unit of Foreign Money Market Account
A payoff at T equals one unit of the foreign money market account. Which numeraire makes that payoff trivial and what ratio becomes martingale?
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中文题目题目3894 · 金融与交易
CIP Fair FX Forward 4
The fair FX forward is 112.5 under continuous compounding. If the domestic rate is 3.00%, the foreign rate is 1.50%, and maturity is 0.5 years, what spot rate is implied by CIP?
打开 →题目3915 · 金融与交易
How to Sanity-Check an FX Forward Number
What is a fast sanity check when someone gives you an FX forward quote under normal market conditions?
打开 →题目3896 · 金融与交易
Implied FX Basis 1
Define an FX basis spread $b$ by $F_0=S_0e^{(r_d-r_f-b)T}$. If spot is 1.1, observed forward is 1.125, domestic rate is 0.04, foreign rate is 0.01, and maturity is 1, what is the implied basis $b$?
打开 →题目3897 · 金融与交易
Implied FX Basis 2
Define an FX basis spread $b$ by $F_0=S_0e^{(r_d-r_f-b)T}$. If spot is 145, observed forward is 146.2, domestic rate is 0.02, foreign rate is 0.005, and maturity is 0.5, what is the implied basis $b$?
打开 →题目3899 · 金融与交易
Implied FX Basis 4
Define an FX basis spread $b$ by $F_0=S_0e^{(r_d-r_f-b)T}$. If spot is 7.2, observed forward is 7.06, domestic rate is 0.015, foreign rate is 0.025, and maturity is 1.5, what is the implied basis $b$?
打开 →题目3891 · 金融与交易
CIP Fair FX Forward 1
Under covered interest parity with continuous compounding, spot is 1.08, forward is 1.113, the domestic rate is 5.00%, and maturity is 1.5 years. What foreign rate is implied?
打开 →题目3892 · 金融与交易
CIP Fair FX Forward 2
Under covered interest parity with continuous compounding, spot is 145, forward is 147.95, the foreign rate is 1.00%, and maturity is 0.75 years. What domestic rate is implied?
打开 →题目3893 · 金融与交易
CIP Fair FX Forward 3
Spot is 0.92, the fair CIP forward is 0.9386, the domestic rate is 4.00%, and the foreign rate is 2.00% under continuous compounding. What maturity is implied?
打开 →题目3895 · 金融与交易
CIP Fair FX Forward 5
Spot is 1.32, forward is 1.3003, and maturity is 1 year under continuous compounding. What domestic-minus-foreign rate differential r_d-r_f is implied by CIP?
打开 →题目3906 · 金融与交易
Domestic Cash Needed for a Covered FX Hedge 1
You must lock in the domestic-currency cost of buying 10000000 units of foreign currency at time 1. Spot is 1.1, domestic rate is 0.04, and foreign rate is 0.01 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?
打开 →题目3907 · 金融与交易
Domestic Cash Needed for a Covered FX Hedge 2
You must lock in the domestic-currency cost of buying 5000000 units of foreign currency at time 0.5. Spot is 145, domestic rate is 0.02, and foreign rate is 0.005 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?
打开 →题目3909 · 金融与交易
Domestic Cash Needed for a Covered FX Hedge 4
You must lock in the domestic-currency cost of buying 8000000 units of foreign currency at time 1.5. Spot is 7.2, domestic rate is 0.015, and foreign rate is 0.025 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?
打开 →题目3914 · 金融与交易
Why a Hedger Cares More About Locked Cost Than Forecast
Why does an importer using FX forwards often care more about locking the domestic purchase cost than about whether the forward is an unbiased forecast of spot?
打开 →题目3912 · 金融与交易
Why Quote Direction Matters So Much
Why do many otherwise careful quant candidates make sign mistakes in FX forward questions?
打开 →模块1.5.1 · 金融与量化投资 · 另类资产
外汇与大宗商品
FX · 商品 · 另类数据 · 合成数据练习
打开 →题目3901 · 金融与交易
Covered Arbitrage Direction 1
Spot is 1.1, the domestic rate is 4.00%, the foreign rate is 1.00%, maturity is 1 years, and the market forward is 1.16 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notion
打开 →题目3902 · 金融与交易
Covered Arbitrage Direction 2
Spot is 145, the domestic rate is 2.00%, the foreign rate is 0.50%, maturity is 0.5 years, and the market forward is 144.5 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency not
打开 →题目3904 · 金融与交易
Covered Arbitrage Direction 4
Spot is 1.35, the domestic rate is 1.00%, the foreign rate is 4.00%, maturity is 1.5 years, and the market forward is 1.26 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency not
打开 →题目3905 · 金融与交易
Covered Arbitrage Direction 5
Spot is 109, the domestic rate is 1.50%, the foreign rate is 0.50%, maturity is 1 years, and the market forward is 111 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notiona
打开 →题目3913 · 金融与交易
Why CIP Breaks in Stressed Markets
If CIP is a no-arbitrage relation, why can markets still exhibit a persistent cross-currency basis?
打开 →题目3911 · 金融与交易
Why CIP Is Just Cash-and-Carry in Two Currencies
Why is covered interest parity best viewed as a two-currency version of cash-and-carry arbitrage?
打开 →课程外汇与大宗商品 · 另类资产
外汇即期与市场结构
周一上午十点，你在上海一家私募（private fund）做跨境配置的研究员。基金经理把一笔 USD 1,000 万的赎回需求扔到你桌上：客户要求三天后换成人民币交付。你打开 CFETS 终端，屏幕上跳出 USD/CNY 中间价 7.2010，旁边券商报盘 7.2010 / 7.2020。你需要回答三个问题：报价里的两个数字分别意味着什么？这笔换汇该走哪条通...
打开 →课程外汇与大宗商品 · 另类资产
外汇远期与抛补利率平价
周二下午三点，你在上海一家私募（private fund）下设的出口型集团做财资管理外包。销售台刚签下一笔合同：90 天后客户付 USD 1,000 万。问题是公司账本以人民币记账，老板要的不是「拍脑袋猜 USD/CNY 会涨会跌」，而是「现在就锁定 90 天后的换汇价」。你打开屏幕，CFETS 上 USD/CNY 即期 7.2000（这是你今天最重要的现货...
打开 →课程外汇与大宗商品 · 另类资产
大宗商品指数投资与展期收益
周四上午，你在上海一家私募（private fund）的多策略组里写一份给资金端的备忘录。基金经理刚和一位 LP 见过面，对方提了一个直接的问题：「过去十年我能买到的所有商品指数 ETF，几乎全部跑输它们追踪的现货指数。我们要不要在多元配置里加一块商品？」桌面上摆着 DCE 铁矿石（I）的期货曲线和一份 BCOM 历史超额收益拆解表。这一课要回答这个问题：为...
打开 →课程外汇与大宗商品 · 另类资产
大宗商品资产类别与定价
周三下午，你在一家上海的私募（private fund）做大类资产配置。基金经理盯着两块屏幕：一块是上期所（SHFE, 上海期货交易所）铜（CU）主力合约的曲线，另一块是 LBMA 现货金价。她问你两个问题：为什么 SHFE 铜近月和远月只差 100 元/吨，但隔夜 WTI 原油近远月差超过 1 美元/桶？同样是「大宗商品」，铜、黄金、原油、铁矿石的期货曲线...
打开 →题目2367 · 数理金融
Wrong-Way-Risk Judgment 17
Why can an EM FX forward against a weak domestic bank be strongly wrong-way?
打开 →课程Rust 低延迟交易 · Rust 系统编程
Rust 低延迟之交易引擎与 tick-to-trade
凌晨四点四十五,上海集合竞价开盘前两小时,你坐在 CFFEX 张江 COLO 机房旁的运维室。你是国内一家头部私募 Rust 团队的负责人,沪深300 ETF (510300.SH) 做市策略;L1、L2、L3 三课合并的成果是一个名为 trading engine 的可跑二进制,策略组的研究员要昨晚通宵回归的直方图报告。终端上滚出来的一行: tick to...
打开 →课程市场与微观结构 · 市场基础
什么是市场
09:25:00。上海证券交易所（Shanghai Stock Exchange, SSE）的集合竞价撮合开始。9点15分以来积压在系统里的几十万笔订单——来自一家百亿规模的私募基金（private fund）的限价买单、一家券商自营盘的卖出指令、深圳一位散户的市价单——在这一秒内按同一个开盘价集中撮合。300ETF 早盘开出 3.842 元，比昨日收盘高 ...
打开 →课程量化策略目录 · 策略类型与业绩
统计套利、配对交易与均值回归
打开 ICBC A(601398.SS)和 ICBC H(1398.HK)的最近一年日线。两条对数价格曲线长时间一起走——同一家公司、同一份基本面、同一组业务驱动——但你会反复看到几天到几周窗口的 5 15% 偏离,沪市端常年保持 8 12% 的"A 股溢价"。当沪港通的某一日北上资金把 A 股推到溢价 +2σ,做空 A 端、做多 H 端,然后等价差在几周内...
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