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Dang.D · 2022年10月12日

问一个公式问题

  1. CFA I
  2. Economics Analysis

NO.PZ2018062003000213

问题如下：

A research report produced by a dealer includes the followings datas. The USD/GBP spot exchange rate is 0.8465, the 90day Libor rates for the USD and the GBP are 1.065% and 1.620%. Which of the following options is the most accurate of the 90-day forward points(the interest rates are on a basis of a 360-day year) in USD/GBP ?

选项：

A.

–8.9.

B.

–12.

C.

12.

解释：

B is correct.

FUSD/GBP=S(USD/GBP)(1+iUSD)/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

The forward points are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12.

考点：Forward Premium and Discount

解析：

第一步，先算得远期汇率水平0.8453

F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

第二步，计算forward points ：10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12.

先算得远期汇率水平F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

解析里面是这样算的，请问为啥不是（1+0.01065）*(90/360)呢

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1 个答案

笛子_品职助教 · 2022年10月13日

嗨，爱思考的PZer你好：


解析里面是这样算的，请问为啥不是（1+0.01065）*(90/360)呢

Hello，亲爱的同学！

因为我们是要计算两个货币的利率差。所以只是用了1.065%这一个利率是不行的。

这道题涉及的公式是利率平价公式。


把F、S、rx、ry的数字，带入红框里的公式，解方程就好了。


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