NO.PZ2018091706000046
问题如下:
Analyst Bob is studying foreign exchange market. He observes that:
1. The spot exchange market rate is 1.55USD/GBP
2. The 180-Day Libor for dollars is 0.58%, while the 180-Day Libor for pounds is 0.62%
So, Bob calculate the 180-day forward points for the USD/GBP. Which of the following option is correct?
选项:
A.0.
B.-0.0003.
C.-0.0237.
解释:
B is correct
考点:Interest rate parity
解析,根据利率平价理论的公式,我们首先可以求得美元兑英镑的远期汇率水平,即:
接着我们再求出forward points,即:1.5497-1.5500 =-0.0003
题里给的180天LIBOR水平分别是0.58%和0.62%,这两个虽然标注了180day,但都看作是年化的概念吗?
所以题目让求180天的forward rate,还要用这两个数分别乘以180/360,是这么理解吗?