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zebra · 2018年07月23日

问一道题：NO.PZ2018062003000213 [ CFA I ]

  1. CFA I
  2. Economics Analysis

问题如下图：

    

选项：

A.

B.

C.

解释：


麻烦问一下 这个利率给出的已经是90day libor rate了 为什么还要乘以90/360

另外 题目让求得不是forward rate 吗 解析里给出的是求forward point 这个怎么判断啊 谢谢

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1 个答案

源_品职助教 · 2018年07月23日

因为LIBOR的报价方式是以年化形式报价的。所以在具体做题带入时时还要去年化。

问题应该是求forward point ，这里是一处勘误，我们尽快跟新，谢谢指正。

 

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NO.PZ2018062003000213 问题如下 A researreport procea aler inclus the followings tas. The USGspot exchange rate is 0.8465, the 90y Libor rates for the USanthe Gare 1.065% an1.620%. Whiof the following options is the most accurate of the 90-y forwarpoints(the interest rates are on a basis of a 360-y year) in USG? A.–8.9. B.–12. C.12. B is correct.FUSGBP=S(USGBP)(1+iUS/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453The forwarpoints are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12.考点ForwarPremium anscount解析第一步，先算得远期汇率水平0.8453F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453第二步，计算forwarpoints 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12. 可否理解为持有期为90天的拆借利率，即年利率已经*90/360，不必再算？

2023-05-08 15:29 1 · 回答

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