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周梅 · 2024年10月11日

EQUITY

* 问题详情，请查看题干

NO.PZ201512020800000101

问题如下：

1. Based upon Exhibit 1, the forward premium (discount) for a 360-day INR/GBP forward contract is closest to:

选项：

A.

–1.546.

B.

1.546

C.

1.576

解释：

C is correct.

The equation to calculate the forward premium (discount) is:

$F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)$

$S_{f/d}$ is the spot rate with GBP the base currency or d, and INR the foreign currency or $< e m > f < / e m > . S_{f / d}$ per Exhibit 1 is 79.5093, i f is equal to 7.52% and i d is equal to 5.43%.

With GBP as the base currency (i.e. the “domestic” currency) in the INR/GBP quote, substituting in the relevant base currency values from Exhibit 1 yields the following:

$F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=1.576$

考点：利率平价公式的计算.

解析： Covered IRP:

$F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)$

其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得：

$F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=1.576$

老师这道题是不是答案错误了，折现年数是4年，不是5年

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笛子_品职助教 · 2024年10月12日

嗨，努力学习的PZer你好：

老师这道题是不是答案错误了，折现年数是4年，不是5年

Hello，亲爱的同学~

2020到2024年，是5年。分别是：2020、2021、2022、2023、2024。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual][360Actual])(if−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360][360360])(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual][360Actual])(if−i)其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360][360360])(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 Using the cru oil futures prices in Exhibit 1, who woulmost likelyaccount for the lowest roll return until March?C airline heing fuel costs The QA Energy Commoties Fun. A cru oil procer heing proctionA cru oil procer woulshort futures to hee the risk of future falling prices. For example, falling prices woulcrease future sales anincome. Cru oil futures are in backwartion, causing successive futures contracts to sollower prices ancausing roll yielto negative.Introction to Commoties anCommoty r没懂，什么意思,老师讲解下

2024-10-22 03:30 1 · 回答

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2024-10-22 03:24 1 · 回答

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2024-10-21 21:45 1 · 回答

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2024-10-21 21:28 1 · 回答

NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual][360Actual])(if−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360][360360])(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual][360Actual])(if−i)其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360][360360])(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 For a non-vinpaying stock, American-style call option’s value ccalculatebaseon the present value of expectefuture cash flows because American-style call options anEuropean-style call options cscribeaninterpretesimilarly anbecause the no-arbitrage approaapplies to each.” Laurens’s statement about the no-arbitrage approais correin its referento both European-style options anAmerican-style options. Unr the binomimols, option’s value is equto the present value of expectefuture payoffs unr a risk neutrprobability with the scount factor being the risk free interest rate. The multiperiobinomimol approaches equivalento the BSM mol the time steps shorten (i.e., a large number of short anequtime steps)老师这个知识点再讲解下

2024-10-21 20:27 1 · 回答