NO.PZ2018091706000001
问题如下:
Based on following data, please calculate the forward premium for a 180-day RMB/USD forward contract
选项:
A.0.04132.
B.0.04233.
C.0.04155.
解释:
C is correct.
考点:利率平价公式的计算.
解析:Covered IRP: F/S=(1+rRMB)/(1+rUSD)
计算forward premium时上述公式两边同时减去1
得到(F-S)/S=(rRMB-rUSD)/(1+rusd)
代入数字:F-S=6.7659*{4.80%*(1/2)-3.55%*(1/2)}/{(1+3.55%*(1/2)}=0.04155
老师, 可以看一下 哪里计算的有误吗?
我根据F/S=1+rx/1+ry ,即 F/6.7659=1+4.8%*0.5/1+3.55%*0.5, 求得的F=6.663855
再使用(F-6.7659)/6.7659计算。