。。。给您个方向吧。

第一题请用方程法单变量求解。

第二题典型的利率平价题，算出理论上的升贴水，然后利用利率的差（2%）进行套利操作。

[此贴子已经被作者于2006-1-8 13:32:50编辑过]

多谢了啊

1 Holding period return R on a one year basis

[1000*2.7%/(1+R/2) + (1000*2.7%+1000)/(1+R/2)^2 = 993

work out the equation.

assume interest payments are made every six months (compounded each six months)

2 It's about Interest rate parity.

The best strategy should be taken on here is to

1 sell the 100m sterling pounds at a spot rate of USD1.9278 (bid price) to get $1,927,800

2 take a short position in forwards to sell $1,927,800*(1+2%) at the price of 1/(1.9290-0.0030) pounds per dollar three months from now.

three months later, you will get $1,927,800*(1+2%)

convert the $1,927,800*(1+2%) to sterling pounds through the forwards you have.

So you will get 1,927,800*(1+2%)/1.9260 pounds by using the above strategy.

下面是套利的过程（在本题中可以省略第 一步）

三个月前

第一步：借100万英镑，利率 为6％，这是你的还款利率

第二步：卖掉100万英镑，同时得到美元，把得到的美元以8%投资

第三步：take a short position in forwards with dollar as the underlying currency (long也可以，但是那样的话underlying currency就必须是英镑）

三个月后，收回美元投资，然后通过forwards买回英镑，然后偿还英镑贷款。

偿还后剩下的英镑就是arbitrage.

至于细节问题，如应该采用bid 或者 ask price，4楼有相应的解释。

[此贴子已经被作者于2006-1-13 21:13:27编辑过]