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lion · 2023年02月21日

关于利率问题

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020020601000053

问题如下：

The spot rate for XXXYYY is 1.4251 and the one-year forward rate is 200 basis points. How would the spot rate and the forward rate have been expressed if the currency had been YYYXXX?

解释：

The spot rate and forward rate are 1.4251 and 1.4251 + 0.0200 = 1.4451. If the currency had been quoted the other way around, the spot and forward would be 1/1.4251 = 0.7017 and 1/1.4451 = 0.6920. The forward quote would be -97 because the forward rate is 97/10,000 less than the spot rate.

这个200为啥是加不是乘以1.02

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1 个答案

DD仔_品职助教 · 2023年02月22日

嗨，从没放弃的小努力你好：


同学你好，

题目说spot rate=1.4251，一年的forward rate是200bps，对于外汇forward利率计算这里算是一个惯例，都默认forward的报价都是基于现货价格（spot rate）上浮或下浮一些basis points。所以forward rate=1.4251+200bps

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努力的时光都是限量版，加油！

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NO.PZ2020020601000053问题如下The spot rate for XXXYYY is 1.4251 anthe one-yeforwarrate is 200 basis points. How woulthe spot rate anthe forwarrate have been expresseif the currenhbeen YYYXXX? The spot rate anforwarrate are 1.4251 an1.4251 + 0.0200 = 1.4451. If the currenhbeen quotethe other waroun the spot anforwarwoul1/1.4251 = 0.7017 an1/1.4451 = 0.6920. The forwarquote woul-97 because the forwarrate is 97/10,000 less ththe spot rate. forwarrate=spot rate+basis point这个是公式吗？在哪里讲的啊

2022-03-26 11:44 1 · 回答

老师您好，97是怎么得来的？换个标价方式得到的spot减forwar是0.69吗？

2020-05-10 18:48 1 · 回答

答案最后一句啥意思？

2020-02-19 18:00 1 · 回答