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AnnaZ · 2022年09月05日

spot为什么不取mid-rate而是取了offer的价格？

  1. CFA II
  2. Economics Analysis

* 问题详情，请 查看题干

NO.PZ202208160100000105

问题如下：

Based on the data in Exhibit 1, the expected net investment return on a one-year carry trade based on the JPY/EUR currency pair, measured in JPY terms, is closest to:

选项：

A.2.86%. B.3.10%. C.3.01%.

解释：

Solution

A is correct. In a carry trade, an investor will borrow in the low interest rate currency, the JPY, at 0.15% and invest in the high interest rate currency, the EUR, at 1.40%.

Calculate the current and one-year-later JPY/EUR cross-rates.

  1. Borrow JPY and buy USD for JPY117.66 (offer); then use USD to buy EUR for USD1.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.

  2. The one-year-later cross-rate for the JPY/EUR is calculated as 118.32 × 1.0984 = 129.963 = 129.96.

The net investment return for the unhedged EUR deposit, measured in JPY, is calculated as

[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86%

C is incorrect. It neglects to deduct the interest on the JPY loan.

[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01%

B is incorrect. It incorrectly uses the bid cross-rate in the first step.

117.62 × 1.0851 = 127.629 = 127.63

[1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10%

  1. Borrow JPY and buy USD for JPY117.66 (offer); then use USD to buy EUR for USD1.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.

老师，这部分答案解析有点复杂，为什么不能直接相乘得出JPY/EUR的bid和offer的价格再相加除以2取mid-rate来计算呢？没看明白为什么取了offer的价格


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1 个答案

笛子_品职助教 · 2022年09月06日

嗨，从没放弃的小努力你好：


没看明白为什么取了offer的价格

这里涉及一个知识点：

投资者在市场上买base currency，使用dealer给出的ask价。同理，投资者在市场上卖出base currency，使用dealer给出的bid价。


在以上知识点的基础上，我们看本题：

本题交叉汇率的过程，是先是用日元买美元，再用美元买欧元。既然是买欧元，那么要用dealer的ask价格，在表格里ask价就是offer价，因此取offer价。


可以参考基础讲义以下截图，关于交叉汇率的计算法则，以及案例。


为什么不能直接相乘得出JPY/EUR的bid和offer的价格再相加除以2取mid-rate来计算呢？

同学的做法，也就是直接相乘bid和offer价，是对的。本题的计算思路也是如此，只不过只计算了交叉汇率的offer价，因为bid价用不到。

同学的做法和本题答案解析的分歧点，在于，为什么答案使用ask价，而不是同学认为的mid 价格。


这里涉及到一个知识点：

向dealer买入base currency，不是用mid rate价格买入，而是要用ask价买入。

我们看基础讲义相关知识点。ask价格是银行卖出外汇（指base currency）的价格，银行卖出外汇的价格才是投资者买入外汇的价格。




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努力的时光都是限量版，加油！

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NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 谢谢

2024-08-22 06:52 2 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。

2024-07-23 23:27 1 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 这道题用的是哪个公式

2024-06-29 09:56 1 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 什么条件用的是mi什么条件用的offer？

2024-04-23 20:58 1 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 我的做法是1/127.932 * （1+1.4%）*129.9626 -1 =0.030095再scount日本的利息0.15% 最后算出～3%是不是哪里有问题？

2023-12-22 14:26 1 · 回答