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皓月 · 2022年11月13日

关于第四小题

  1. CFA II
  2. Economics Analysis

* 问题详情，请 查看题干

NO.PZ202208160100000404

问题如下：

Based on Exhibit 2, the one-year forward exchange rate of the Sn/GBP is closest to:

选项：

A.Sn14.03/GBP. B.Sn13.45/GBP. C.Sn8.75/GBP.

解释：

Solution

A is correct. First, find the current Sn/GBP exchange rate. Then, find the one-year forward Sn/GBP rate.

  1. Sn/GBP = Sn/USD × USD/GBP = 8.50 × 1.6129 = Sn 13.70968/GBP.

    Note that 1.6129 is the inverse of 0.62, which is the GBP/USD exchange rate given in Exhibit 2.

  2. The forward rate equals the spot rate multiplied by the ratio of one plus the sona one-year rate divided by one plus the pound one-year rate.

    In this case, the forward rate = 13.70968 × 1.065/1.0405 = 14.03249.

An alternative approach is to convert USD1 into SN and GBP and determine what an investment in each of those currencies would be worth in one year at the Golden Island and UK interest rates, respectively.

The one-year forward rate will then be the number of Sn required to purchase GBP 1 at that time.


B is incorrect because it uses the incorrect ratio of rates. It uses the Sn/USD spot rate and the sona over US interest rates: 1.0405/1.065 × 13.70968 = 13.4522.

C is incorrect because it uses the Sn/USD spot rate and the sona over US interest rates: 1.065/1.035 × 8.50 = 8.7464.

inflation rate 这个条件用不到？

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2 个答案

笛子_品职助教 · 2022年11月23日

嗨，从没放弃的小努力你好：


如果求实际汇率的话，是否要分子分母一起除以inflation rate?

是的，同学理解正确哦。


用我们讲义的公式即可：


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笛子_品职助教 · 2022年11月13日

嗨，爱思考的PZer你好：


inflation rate 这个条件用不到？


Hello，亲爱的同学！

因为这道题并没有涉及到实际汇率，所以inflation是用不到的。

CFA题目中经常有用不到的条件，就是干扰考生的。

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NO.PZ202208160100000404问题如下Baseon Exhibit 2, the one-yeforwarexchange rate of the Sn/Gis closest to:A.Sn14.03/GBP.B.Sn13.45/GBP.C.Sn8.75/GBP. SolutionA is correct. First, finthe current Sn/Gexchange rate. Then, finthe one-yeforwarSn/Grate.Sn/G= Sn/US× USG= 8.50 × 1.6129 = Sn 13.70968/GBP.Note th1.6129 is the inverse of 0.62, whiis the GBP/USexchange rate given in Exhibit 2.The forwarrate equals the spot rate multipliethe ratio of one plus the sona one-yerate vione plus the pounone-yerate.In this case, the forwarrate = 13.70968 × 1.065/1.0405 = 14.03249.alternative approais to convert US into SN anGantermine whinvestment in eaof those currencies woulworth in one yethe Goln IslananUK interest rates, respectively. The one-yeforwarrate will then the number of Sn requireto purchase G1 thtime.B is incorrebecause it uses the incorreratio of rates. It uses the Sn/USspot rate anthe sona over US interest rates: 1.0405/1.065 × 13.70968 = 13.4522.C is incorrebecause it uses the Sn/USspot rate anthe sona over US interest rates: 1.065/1.035 × 8.50 = 8.7464.中文解析A是正确的。首先，找出当前的Sn/GBP汇率。然后，求出一年期远期Sn/GBP汇率。Sn/G= Sn/US× USG= 8.50 × 1.6129 = Sn 13.70968/GBP请注意，1.6129是0.62的倒数，0.62是图表2中给出的英镑/美元汇率。远期汇率等于即期汇率乘以1 + 1年期索纳汇率除以1 + 1年期英镑汇率。此时，远期汇率= 13.70968 × 1.065/1.0405 = 14.03249。另一种方法是将1美元兑换成挪威先令和英镑，然后计算在金岛利率和英国利率下，投资这两种货币一年后的价值。一年期远期利率将是当时购买1英镑所需的Sn数量。B是不正确的，因为它使用了不正确的比率。它使用Sn/US货汇率和sona /US利率:1.0405/1.065 × 13.70968 = 13.4522。 C是不正确的，因为它使用了Sn/US期汇率和sona /US利率:1.065/1.035 × 8.50 = 8.7464。 老师我想问一下这个问题和inflation是不相关的是吗，谢谢

2024-03-05 12:08 1 · 回答