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monicaaaaa · 2023年06月28日

求助

  1. CFA I
  2. Economics Analysis

NO.PZ2022071403000117

问题如下：

Question

    The following information is available:

    • New Zealand dollar (NZD) to British pound (GBP) spot exchange rate: 2.0979

    • Libor interest rates for the British pound: 1.6025%

    • Libor interest rates for the New Zealand dollar: 3.2875%

    • All Libor interest rates are quoted on a 360-day year basis

    The 180-day forward points (scaled up by four decimal places) in NZD/GBP is closest to:


    选项：

    A.39

    B.348

    C.176

    解释：

    Solution

    C is correct. Covered interest arbitrage will ensure identical terminal values by investing the same initial amounts at the respective country’s domestic interest rates:

    GBP investment: ₤1 × (1 + 0.016025 × 180/360) = ₤1.008013

    NZD investment: NZ$2.0979 × (1 + 0.032875 × 180/360) = NZ$2.13238

    The forward rate is determined by equating these two terminal amounts:

    NZD/GBP forward rate = NZ$2.13238/₤1.008013 = 2.115429

    Forward points = (Forward – Spot) × 10,000

    = (2.1155– 2.0979) × 10,000

    = 175.3 =176 (rounded)

    A is incorrect. It inverts the currencies.

    GBP investment: ₤2.0979 × (1 + 0.016025 × 180/360) = ₤2.1147

    NZD investment: NZ$1 × (1 + 0.032875 × 180/360) = NZ$1.0164

    The forward rate is determined by equating these two terminal amounts:

    NZD/GBP forward rate = NZ$1.0164/₤2.1147 = 0.4806

    Inverted Spot: 1/2.0979 = 0.47667

    Forward points = (Forward – Spot) × 10,000

    = (0.4806– 0.4767) × 10,000

    = 39

    B is incorrect. It ignores the half-year time frame of the contract:

    GBP investment: ₤1 × (1 + 0.016025) = ₤1.016025

    NZD investment: NZ$2.0979 × (1 + 0.032875) = NZ$2.16687

    NZD/GBP forward rate = NZ$2.16687/₤1.016025 = 2.1327

    Forward points = (Forward – Spot) × 10,000

    = (2.1327 – 2.0979) × 10,000

    = 347.9

    中文解析：

    C正确。备兑利息套利将通过按各自国家的国内利率投资相同的初始金额来确保相同的终端价值:

    英镑投资:1英镑× (1 + 0.016025 × 180/360) = 1.008013英镑

    纽元投资:NZ$2.0979 × (1 + 0.032875 × 180/360) = NZ$2.13238

    远期汇率是通过将这两个终端金额相等来确定的:

    纽元兑英镑远期汇率= 2.13238纽元兑1.008013英镑= 2.115429

    远期点=(远期点)× 10000

    = (2.1155 - 2.0979) × 10000

    = 175.3 =176(四舍五入)

    A不正确。它颠倒了货币。

    英镑投资:£2.0979 × (1 + 0.016025 × 180/360) =£2.1147

    新西兰元投资:新西兰元1 × (1 + 0.032875 × 180/360) =新西兰元1.0164

    远期汇率是通过将这两个终端金额相等来确定的:

    纽元兑英镑远期汇率=纽元兑1.0164英镑兑2.1147英镑= 0.4806

    倒挂即期汇率:1/2.0979 = 0.47667

    远期点=(远期点)× 10000

    = (0.4806 - 0.4767) × 10000

    = 39

    B不正确。它忽略了合同的半年时间框架:

    英镑投资:1英镑×(1 + 0.016025) = 1.016025英镑

    纽元投资:NZ$2.0979 × (1 + 0.032875) = NZ$2.16687

    纽元兑英镑远期汇率= 2.16687纽元兑1.016025英镑= 2.1327

    远期点=(远期点)× 10000

    = (2.1327 - 2.0979) × 10,000

    = 347.9

    该道题用利率平价公式算的话，2.9079NZD/GBP应该乘以本国投资（1+1.6025%/2）再除以外国投资（1+3.2875%/2）呀，为什么答案里是反的呢？麻烦求解～

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    1 个答案

    笛子_品职助教 · 2023年06月29日

    嗨，爱思考的PZer你好：



    Hello，亲爱的同学~

    我们先看知识点。



    利率平价公式，汇率表达式为X/Y，也就是说，RX是price currency的利率。Ry是base currency的利率。

    对于NZD/GBP的表达式

    上方分子是计价货币NZD的利率， 3.2875%

    下方分母用基础货币GBP的利率，1.6025%


    因此带入数字：

    F/2.0979 = (1+3.2875%/2)/(1+1.6025%/2 )


    答案正确的哈。


    这里要从price currency 和 base currency角度，确认哪个利率在上，哪个利率在下。不要从本币和外币的角度来看。


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    就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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    NO.PZ2022071403000117 问题如下 QuestionThe following information is available:New Zealanll(NZ to British poun(GBP) spot exchange rate: 2.0979Libor interest rates for the British poun 1.6025%Libor interest rates for the New Zealanllar: 3.2875%All Libor interest rates are quoteon a 360-y yebasisThe 180-y forwarpoints (scaleup four cimplaces) in NZGis closest to: A.39 B.348 C.176 SolutionC is correct. Covereinterest arbitrage will ensure inticterminvalues investing the same initiamounts the respective country’s mestic interest rates: Ginvestment: ₤1 × (1 + 0.016025 × 180/360) = ₤1.008013NZinvestment: NZ$2.0979 × (1 + 0.032875 × 180/360) = NZ$2.13238The forwarrate is termineequating these two terminamounts: NZGforwarrate = NZ$2.13238/₤1.008013 = 2.115429Forwarpoints = (Forwar– Spot) × 10,000 = (2.1155– 2.0979) × 10,000 = 175.3 =176 (rounA is incorrect. It inverts the currencies.Ginvestment: ₤2.0979 × (1 + 0.016025 × 180/360) = ₤2.1147NZinvestment: NZ$1 × (1 + 0.032875 × 180/360) = NZ$1.0164The forwarrate is termineequating these two terminamounts:NZGforwarrate = NZ$1.0164/₤2.1147 = 0.4806InverteSpot: 1/2.0979 = 0.47667Forwarpoints = (Forwar– Spot) × 10,000 = (0.4806– 0.4767) × 10,000 = 39B is incorrect. It ignores the half-yetime frame of the contract:Ginvestment: ₤1 × (1 + 0.016025) = ₤1.016025NZinvestment: NZ$2.0979 × (1 + 0.032875) = NZ$2.16687NZGforwarrate = NZ$2.16687/₤1.016025 = 2.1327Forwarpoints = (Forwar– Spot) × 10,000 = (2.1327 – 2.0979) × 10,000 = 347.9中文解析C正确。备兑利息套利将通过按各自国家的国内利率投资相同的初始金额来确保相同的终端价值:英镑投资:1英镑× (1 + 0.016025 × 180/360) = 1.008013英镑纽元投资:NZ$2.0979 × (1 + 0.032875 × 180/360) = NZ$2.13238远期汇率是通过将这两个终端金额相等来确定的:纽元兑英镑远期汇率= 2.13238纽元兑1.008013英镑= 2.115429远期点=(远期点)× 10000= (2.1155 - 2.0979) × 10000= 175.3 =176(四舍五入)A不正确。它颠倒了货币。英镑投资:£2.0979 × (1 + 0.016025 × 180/360) =£2.1147新西兰元投资:新西兰元1 × (1 + 0.032875 × 180/360) =新西兰元1.0164远期汇率是通过将这两个终端金额相等来确定的:纽元兑英镑远期汇率=纽元兑1.0164英镑兑2.1147英镑= 0.4806倒挂即期汇率:1/2.0979 = 0.47667远期点=(远期点)× 10000= (0.4806 - 0.4767) × 10000= 39B不正确。它忽略了合同的半年时间框架:英镑投资:1英镑×(1 + 0.016025) = 1.016025英镑纽元投资:NZ$2.0979 × (1 + 0.032875) = NZ$2.16687纽元兑英镑远期汇率= 2.16687纽元兑1.016025英镑= 2.1327远期点=(远期点)× 10000= (2.1327 - 2.0979) × 10,000= 347.9 请问在英文表达中，两个国家的汇率分别为A 和 英文表述 A to B is 10, 写成常规表达式 就是 10 A/B吗？ 如果英文表述是 A against B is 10， 写成常规表达式就是 10 B/A 吗？

    2023-08-03 15:34 1 · 回答