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ACCA FM科目習題解析
Park Co is based in a country whose currency is the dollar （$）. The company regularly imports goods denominated in euro（€）and regularly sells goods denominated in dinars. Two of the future transactions of the company are as follows:
Three months: | Paying €650,000 for imported goods |
Six months: | Receiving 12 million dinars for exported capital goods |
Park Co has the following exchange rates and interest rates available to it:
Bid | Offer | |
Spot exchange rate （dinars per $1）: | 57·31 | 57·52 |
Six-month forward rate （dinars per $1）: | 58·41 | 58·64 |
Spot exchange rate （€ per $1）: | 1·544 | 1·552 |
Three-month forward rate （€ per $1）: | 1·532 | 1·540 |
Six-month interest rates: | ||
Borrow | Deposit | |
Dinars | 4.0% | 2.0% |
Dollars | 2.0% | 0.5% |
The finance director of Park Co believes that the upward-sloping yield curve reported in the financial media means that the general level of interest rates will increase in the future, and therefore expects the reported six-month interest rates to increase.
What is the future dollar value of the dinar receipt using a money market hedge?
A $197,752
B $201,602
C $208,623
D $210,629
【解析】
題目說的是六個月后收到外幣dinars，那么我們要做的就是現(xiàn)在借入外幣dinars，本息和正好等于要收的錢12 million，所以要借入的錢×（1+4%）=12million dinars，可得要借入dinars是11538461.5；
然后把借入的dinars換成本幣美元，賣出dinars買美元，現(xiàn)貨市場美元的買入價57.52，所以美元是11538461.5/57.52=200599.12；
拿著這些美元在本國市場投資,200599.12×(1+0.5%)=201602.
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