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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：

–1.546.

1.546

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：

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

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

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

Which of the following would Messer most likely conclude from the implied volatility data in Exhibit 2 if he excludes the effects of moneyness and time to expiration? B

A. Using out-of-the-money options to establish either long or short positions is more expensive than using at-the-money options.

B.Using out-of-the-money options to hedge is more expensive than establishing a long position with out-of-the-money options.

C.Using out-of-the-money options to establish a long position is more expensive than establishing a short position using out-of-the-money options.

Implied volatility is higher for lower strike prices than for higher strike prices; therefore, out-of-the-money put options will generally be more expensive than out-of-the-money call options. Implied volatilities of options with lower strike prices are higher than those with higher strike prices. 老师讲解下，没有懂

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