这道题目什么时候会用到期初的汇率呢？-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ2023020101000017 问题如下 Whitney meets with GranManufacturing.This client is basein Hong Kong but requires a €25,000,000 one-yebrieloto funoperations in Germany. GranManufacturing is currently able toborrow euros interest rate of 3.75% but wonrs if there is a lessexpensive alternative. Whitney aises Granto borrow in HK$ anenter into aone-yeforeign currenswwith quarterly payments to receive euros afixerate anpHK$ a fixerate. The current exchange rate is HK$11.42per €1, anthe notionamounts will exchangeinitiation anatmaturity.Exhibit1 Current Term Structure of Rates (%)Note: Libor is theLonn Interbank OffereRate. Euribor is the Euro Interbank OffereRate.Hibor is the Hong Kong Interbank OffereRate. All rates shown are annualizeBaseon theinformation in Exhibit 1 anusing a 30/360 y count, the annualizefixeates on the currenswsuggesteWhitney for Granfor euros anHongKong llars, respectively, will closest to: A.2.34%an1.87%. B.2.13%an1.58%. C.2.32%an1.85%. C is correct. The appropriate PV factorsfor Euribor anHibor are calculatefrom Exhibit 1. rFIX,\euro=1.0−PV0,tn(1)∑i=1nPV0,tn(1)=1−0.977135(3.945545)=0.005795r_{FIX,\backslash\mathrm{euro}}=\frac{1.0-PV_{0,t_n}(1)}{\sum_{i=1}^nPV_{0,t_n}(1)}=\frac{1-0.977135}{(3.945545)}=0.005795rFIX,\euro=∑i=1nPV0,tn(1)1.0−PV0,tn(1)=(3.945545)1−0.977135=0.005795rFIX,HK$=1.0−PV0,tn(1)∑i=1nPV0,tn(1)=1−0.981643(3.958421)=0.004637r_{FIX,HK\$}=\frac{1.0-PV_{0,t_n}(1)}{\sum_{i=1}^nPV_{0,t_n}(1)}=\frac{1-0.981643}{(3.958421)}=0.004637rFIX,HK$=∑i=1nPV0,tn(1)1.0−PV0,tn(1)=(3.958421)1−0.981643=0.004637The annualizerate is simply (360/90)times the 90-y rates or 2.3181% for Euros an1.8550% for HK$. 二者什么区别

2024-04-07 10:47 1 · 回答

NO.PZ2023020101000017 问题如下 Whitney meets with GranManufacturing.This client is basein Hong Kong but requires a €25,000,000 one-yebrieloto funoperations in Germany. GranManufacturing is currently able toborrow euros interest rate of 3.75% but wonrs if there is a lessexpensive alternative. Whitney aises Granto borrow in HK$ anenter into aone-yeforeign currenswwith quarterly payments to receive euros afixerate anpHK$ a fixerate. The current exchange rate is HK$11.42per €1, anthe notionamounts will exchangeinitiation anatmaturity.Exhibit1 Current Term Structure of Rates (%)Note: Libor is theLonn Interbank OffereRate. Euribor is the Euro Interbank OffereRate.Hibor is the Hong Kong Interbank OffereRate. All rates shown are annualizeBaseon theinformation in Exhibit 1 anusing a 30/360 y count, the annualizefixeates on the currenswsuggesteWhitney for Granfor euros anHongKong llars, respectively, will closest to: A.2.34%an1.87%. B.2.13%an1.58%. C.2.32%an1.85%. C is correct. The appropriate PV factorsfor Euribor anHibor are calculatefrom Exhibit 1. rFIX,\euro=1.0−PV0,tn(1)∑i=1nPV0,tn(1)=1−0.977135(3.945545)=0.005795r_{FIX,\backslash\mathrm{euro}}=\frac{1.0-PV_{0,t_n}(1)}{\sum_{i=1}^nPV_{0,t_n}(1)}=\frac{1-0.977135}{(3.945545)}=0.005795rFIX,\euro=∑i=1nPV0,tn(1)1.0−PV0,tn(1)=(3.945545)1−0.977135=0.005795rFIX,HK$=1.0−PV0,tn(1)∑i=1nPV0,tn(1)=1−0.981643(3.958421)=0.004637r_{FIX,HK\$}=\frac{1.0-PV_{0,t_n}(1)}{\sum_{i=1}^nPV_{0,t_n}(1)}=\frac{1-0.981643}{(3.958421)}=0.004637rFIX,HK$=∑i=1nPV0,tn(1)1.0−PV0,tn(1)=(3.958421)1−0.981643=0.004637The annualizerate is simply (360/90)times the 90-y rates or 2.3181% for Euros an1.8550% for HK$. 我算的B90=1/(1+1.86%)^0.25=0.995403

2024-01-30 10:43 1 · 回答

NO.PZ2023020101000017 问题如下 Whitney meets with GranManufacturing.This client is basein Hong Kong but requires a €25,000,000 one-yebrieloto funoperations in Germany. GranManufacturing is currently able toborrow euros interest rate of 3.75% but wonrs if there is a lessexpensive alternative. Whitney aises Granto borrow in HK$ anenter into aone-yeforeign currenswwith quarterly payments to receive euros afixerate anpHK$ a fixerate. The current exchange rate is HK$11.42per €1, anthe notionamounts will exchangeinitiation anatmaturity.Exhibit1 Current Term Structure of Rates (%)Note: Libor is theLonn Interbank OffereRate. Euribor is the Euro Interbank OffereRate.Hibor is the Hong Kong Interbank OffereRate. All rates shown are annualizeBaseon theinformation in Exhibit 1 anusing a 30/360 y count, the annualizefixeates on the currenswsuggesteWhitney for Granfor euros anHongKong llars, respectively, will closest to: A.2.34%an1.87%. B.2.13%an1.58%. C.2.32%an1.85%. C is correct. The appropriate PV factorsfor Euribor anHibor are calculatefrom Exhibit 1. rFIX,\euro=1.0−PV0,tn(1)∑i=1nPV0,tn(1)=1−0.977135(3.945545)=0.005795r_{FIX,\backslash\mathrm{euro}}=\frac{1.0-PV_{0,t_n}(1)}{\sum_{i=1}^nPV_{0,t_n}(1)}=\frac{1-0.977135}{(3.945545)}=0.005795rFIX,\euro=∑i=1nPV0,tn(1)1.0−PV0,tn(1)=(3.945545)1−0.977135=0.005795rFIX,HK$=1.0−PV0,tn(1)∑i=1nPV0,tn(1)=1−0.981643(3.958421)=0.004637r_{FIX,HK\$}=\frac{1.0-PV_{0,t_n}(1)}{\sum_{i=1}^nPV_{0,t_n}(1)}=\frac{1-0.981643}{(3.958421)}=0.004637rFIX,HK$=∑i=1nPV0,tn(1)1.0−PV0,tn(1)=(3.958421)1−0.981643=0.004637The annualizerate is simply (360/90)times the 90-y rates or 2.3181% for Euros an1.8550% for HK$. 可以画一下时间轴吗？还想问一下，为什么notionprincip= 1. 老师教的时候不是用 25MM Euro

2023-10-12 14:47 4 · 回答

这道题目什么时候会用到期初的汇率呢？

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