2. 考研
  3. Suppose now in US，the interest rate for one year treasury bill is 5％，and in UK，the interest rate for treasury bill of the same d

Suppose now in US，the interest rate for one year treasury bill is 5％，and in UK，the interest rate for treasury bill of the same d

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问题 Suppose now in US，the interest rate for one year treasury bill is 5％，and in UK，the interest rate for treasury bill of the same duration is 9％．In London，the current spot rate between $and ￡is：￡1=$1．5100～$1．5120，and 12 months forward rate is：￡1=$1．5075~$1．5095．Required： What do you think is the best method if an American with$1million in his hands wants to profit from this circumstance? Please give your calculations in detail(Suppose all transaction can be freely undertaken in financial markets)．(上海财经大学)
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答案比较两种投资方案： (1)100万美元投资于美国的一年期国库券，到期可获本利和： 1000000×(1十5％)=1050000(美元) (2)100万美元投资于英国的一年期国库券，并同时在远期外汇市场上进行套期保值，到期可获本利和为： 1000000÷1．5120×(1+9％)×1．5075=1086755．952 故美国投资者应将此100万美元投资于英国的一年期国库券并进行相应套期保值，即可获1086755.952美元收益，净利润为86755．952美元，可以比投资于本国同类债券多获利1086755．952—1050000=36755.952(美元)。
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