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. .
我就只算到了第一步，从哪里看出这道题求的是Forward Premium啊
