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惠媛🍭 · 2022年12月16日

这道题，我的计算公式如下，为啥算不对？

  1. CFA I
  2. Economics Analysis

NO.PZ2016010802000213

问题如下：

The JPY/AUD spot exchange rate is 82.42, the JPY interest rate is 0.15%, and the AUD interest rate is 4.95%. If the interest rates are quoted on the basis of a 360-day year, the 90-day forward points in JPY/AUD would be closest to:

选项：

A.

–377.0.

B.

–97.7.

C.

98.9.

解释：

B is correct.

The forward exchange rate is given by

FJPY/AUD=S(JPY/AUD)(1+ijpy)/(1+iAUD)=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443

The forward points are 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. Note that because the spot exchange rate is quoted with two decimal places, the forward points are scaled by 100.

考点：Forward Premium and Discount

解析：第一步，先算得远期汇率水平，

FJPY/AUD=S(JPY/AUD)(1+ijpy)/(1+iAUD)=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443

第二步，计算forward points 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. .

82.42JPY=AUD

82.42（1+0.15/4）JPY=(1+0.495/4)AUD

82.42*1.0375JPY=1.1238AUD

76.0907JPY=AUD


100*（76.0907-82.42）=-632.92

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1 个答案

笛子_品职助教 · 2022年12月17日

嗨，从没放弃的小努力你好：


这道题，我的计算公式如下，为啥算不对？


数字代入错了。

 the JPY interest rate is 0.15%, and the AUD interest rate is 4.95%. 


0.15%是0.0015

4.95%是0.0495


所以同学应该把0.0015代入公式，如果代入0.15就错了。

并且同学应该把0.0495代入公式，如果代入0.495就错了。


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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