题目是自己翻译出来的。如有不专业。我们可以一起再讨论一下。
一个日本投资者有一个90天后到期的一百万的远期利率。即期市场上的利率为:日元/美元为110/109.8。三个月的利率。在日本为2% 在美国市场为3%
问:1)如果投资者卖掉一百万美元,他讲获得多少日元?
2)他将怎么在即期市场上复制一份远期卖出合约?
3)第一问和第二问是一样的吗?
谢谢大家了。。。~~
原题是:A Japanese manufacturer has an accounts receivable of USD 1million due in 90 days, the spot and forward exchange rates are JPY/USD 110 and 109.8 respectively. and the simple interest rate for a three-month deposit is 2 percent p.a. in Japan and 3 percent p.a. in the US.
a) If the manufacturer sells the USD 1million forward for 90 days, how many JPY will she receive at time T?
b)How could she replicate a forward sale in hte spot and money markets?
c) Is the manufacturer indifferent between (a) and (b)?