選擇權搖錢樹 專業投資 | 選擇權教學

這是我修EMBA 國際金融的課程

這作業題目可對學理工的我有些殘忍

UIRP 是啥東西 ??  傷腦筋

有哪個高手會以下題目呢 

1. According the Monetary Approach to Exchange Rates, how would the exchange rate of NT dollar against the U$ be affected by a rise of interest rates in Taiwan ?  How would you reconcile your answer with the prediction of the Uncovered Interest Rate Parity ?

2. Investors must pay a x % tax on interest earnings. Suppose the interest rates on NT dollar and US dollar are 10% and 5% respectively.  According to UIRP, will N.T. dollar depreciate or appreciate when the tax rate (x%) is raised from 10% to 20%? Explain your answer?

3. A bank quotes the following rates to its clients:

Buying rate of spot U$ = 30 NT; Selling rate of spot U$ = 30.1 NT.  Buying rate of 1-year forward U$ = 24 NT; Selling rate of 1-year forward U$ = 24.1 NT; Interest rate on 1 year NT deposit = 22 %; Interest rate on 1 year U$ deposit =42%.. You have 100 million NT for deposits. Exchange gains are taxed at 25% and exchange losses are deductible from tax while interest income is exempt from tax. Arrange a deal using forward to increase your returns.

翻譯如下 

1.用貨幣學派的匯率決定理論來解釋匯率，台幣匯率兌換美元匯率如何受利率上升的影響。並請使用含險的利率平價理論(Uncovered Interest Rate Parity; UIRP)來解釋(預測)之。

2.

假設投資者的利息所得上支付x%的稅，假設台幣及美元的利率分別為10%及5%，根據UIRP，說明當稅率從10%升高至20%時，台幣是會升值還是貶值？

3.

假設你有一億台幣，匯率所得須課以25%稅率，匯率損失可扣除，利息收入是免稅的。安排一場足以增加你報酬的遠期外匯的交易。

Buying rate of spot匯率買價 U$ = 30 NT   Selling rate of spot匯率賣價 U$ = 30.1 NT.  

Buying rate of 1-year forward一年期的遠期買權外匯價格  U$ = 24.0 NT  

Selling rate of 1-year forward一年期的遠期賣權外匯價格  U$ = 24.1 NT  Ft+1

台幣的一年存款利率 =  22 %  、  美金一年存款利率 = 42%