FRM p. 7.8 ~ forward rates

clusterapple

please help me to get details in steps to get answer

AUD/JPY: since Japan's one year interest rate is around 1 per cent and Australia's about 5 per cents are favourable to Australian exporters.

calculation: spot multiplied by Japanese interest rate divided by Australia rate = forward.

solution: this adds around AUD40 000 profit per AUD 1 million for exports (or cost for imports)

please show me the steps

thanks

anvil

interest rate parity: (1+ JPY i)*S=(1 + AUD i)*F
=> F=(1+ JPY i)*S/[(1 + AUD i)]
=> F =1.01/1.04*S
Forward rate = 101/104*Spot Rate<spot rate (Rate quoted as AUD to JPY)

haven't seen context, donno about the extra profit...

clusterapple

anvil 发表于 2012-12-30 21:25
interest rate parity: (1+ JPY i)*S=(1 + AUD i)*F
=> F=(1+ JPY i)*S/[(1 + AUD i)]
=> F =1.01/1.04*S

哈囉 ! Avil
請告訢我加分給你的方法，　謝

可否再解說以下：

１）interest rate parity: (1+ JPY i)*S=(1 + AUD i)*F
=> F=(1+ JPY i)*S/[(1 + AUD i)]
=> F =1.01/1.04*

為什麼　ＡＵＤｉ　是０.04 而不是 0.05  (5%)  ????


Forward rate = 101/104*Spot Rate<spot rate (Rate quoted as AUD to JPY)
   這 < spot rate 是 什麼意思  ?

anvil

clusterapple 发表于 2012-12-31 14:52
哈囉 ! Avil
請告訢我加分給你的方法，　謝

不好意思，0.04打错了，应该是0.05
小于号只是说远期汇价会低与现货汇价

至于为啥有extra profit，没看到语境不清楚。