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NO.PZ202208160100000106

问题如下：

Using Exhibit 2, the mid-market forward premium (discount) for a 270-day forward contract for KRW/CAD is closest to:

选项：

A.–1.612. B.–2.139. C.–1.615.

解释：

Solution

A is correct. The mid-market KRW/CAD is (869.813 + 871.598)/2 = 870.706. The mid-market forward premium (discount) is calculated as: $F_{P / B} - S_{P / B} = S_{P / B（} [\frac{\frac{Actual}{360}}{1 + i_{B} (\frac{Actual}{360})}] ({）（i}_{P} - i_{B})$ ）where

F_P_/_B = forward rate

S_P_/_B = spot rate

i_P = price currency risk-free rate

i_B = base currency risk-free rate

$\begin{matrix} F_{P / B} - S_{P / B} = 870.706 [\frac{\frac{270}{360}}{1 + 0.0175 (\frac{270}{360})}] (（0.0150 - 0.0175）) \\ = 870.706 \times 0.7403 \times （- 0.0025） \\ = - 1.611 \end{matrix}$

The following is an alternative method to calculate the forward discount.

Consider the alternatives of currently investing in Canada and South Korea:

Current: 1 CAD × [1 + (0.0175 × 270/360)] =1.013125 CAD
870.706 KRW × [1 + (0.0150 × 270/360)] =880.501 KRW
One Year In one year: 880.501 KRW/1.013125 CAD = 869.094 KRW/CAD.Thus, the forward discount = 869.094 – 870.706 = –1.612.

C is incorrect. It ignores the 270/360 component of the equation.

$\begin{matrix} F_{P / B} - S_{P / B} = 870.706 [\frac{1}{1 + 0.0175}] (0.0150 - 0.0175) \\ = 870.706 \times 0.9828 \times - 0.0025 \\ = - 2.139 \end{matrix}$

B is incorrect. It uses the wrong base currency rate in the middle component of the equation.

$\begin{matrix} F_{P / B} - S_{P / B} = 870.706 [\frac{\frac{270}{360}}{1 + 0.0150 (\frac{270}{360})}] (0.0150 - 0.0175) \\ = 870.706 \times 0.7417 \times - 0.0025 \\ = - 1.615 \end{matrix}$

为什么The mid-market KRW/CAD is (869.813 + 871.598)/2 ，而不是买价或卖价？

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