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 →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 →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?
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