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aileen20180623 · 2024年04月23日

这题

  1. CFA II
  2. Economics Analysis

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NO.PZ202208160100000105

问题如下：

Based on the data in Exhibit 1, the expected net investment return on a one-year carry trade based on the JPY/EUR currency pair, measured in JPY terms, is closest to:

选项：

A.2.86%. B.3.10%. C.3.01%.

解释：

Solution

A is correct. In a carry trade, an investor will borrow in the low interest rate currency, the JPY, at 0.15% and invest in the high interest rate currency, the EUR, at 1.40%.

Calculate the current and one-year-later JPY/EUR cross-rates.

  1. Borrow JPY and buy USD for JPY117.66 (offer); then use USD to buy EUR for USD1.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.

  2. The one-year-later cross-rate for the JPY/EUR is calculated as 118.32 × 1.0984 = 129.963 = 129.96.

The net investment return for the unhedged EUR deposit, measured in JPY, is calculated as

[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86%

C is incorrect. It neglects to deduct the interest on the JPY loan.

[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01%

B is incorrect. It incorrectly uses the bid cross-rate in the first step.

117.62 × 1.0851 = 127.629 = 127.63

[1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10%

A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。

计算当前和一年后的日元/欧元交叉汇率。

借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。

一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。

未对冲欧元存款的净投资回报，以日元计算，计算公式为

[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%

C是不正确的。它忽略了扣除日元贷款的利息。

[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%

选项B不正确。它在第一步中错误地使用了买价交叉汇率。

117.62 × 1.0851 = 127.629 = 127.63

[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%

A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。

买价:0.9216 × 0.7050 = 0.64973 = 0.6497

因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。

C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。

买价:0.7050 × 1.0851 = 0.76500 = 0.7650

因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。

什么条件用的是mid 什么条件用的offer？

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1 个答案

笛子_品职助教 · 2024年04月24日

嗨，从没放弃的小努力你好：


什么条件用的是mid 什么条件用的offer？

Hello，亲爱的同学~


只有forward合约到期的时候，才会使用mid。

如果forward未到期，需要在市场上进行交易，则使用bid/ask。


对于交叉汇率，不存在forward到期的问题。

所以，交叉汇率，我们使用的是bid -ask。


交叉汇率的计算有特定的计算规则，同学需要掌握。

规则是：

1）根据代数规则，先判断乘法还是除法。在运用代数规则的时候，把汇率里的 / 看成除号÷。

例如已知A/B，B/C，要计算A/C，则用A/B * B/C，乘法。

如果已知A/B，C/B，要计算A/C，则用(A/B) ÷(C/B)，除法。

2）根据乘法还是除法，选择相应规则：

乘法：相乘同边。

除法：相除对角。

----------------------------------------------
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NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 谢谢

2024-08-22 06:52 2 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。

2024-07-23 23:27 1 · 回答

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2024-06-29 09:56 1 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 我的做法是1/127.932 * （1+1.4%）*129.9626 -1 =0.030095再scount日本的利息0.15% 最后算出～3%是不是哪里有问题？

2023-12-22 14:26 1 · 回答