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周梅 · 2024年10月24日

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NO.PZ202106160100000101

问题如下:

Using the quotes in Exhibit 1, the amount received by Goldsworthy from converting JPY 225,000,000 will be closest to:

选项:

A.

GBP 1,734,906

B.

GBP 1,735,174

C.

GBP 1,735,442

解释:

A is correct.

Goldsworthy has been given a bid–offer spread. Because she is buying the base currency—in this case, GBP—she must pay the offer price of JPY 129.69 per GBP.

JPY225,000.000129.69  JPY/GBP=GBP1,734,906\frac{JPY225,000.000}{129.69\;JPY/GBP}=GBP1,734,906

考点: Spot rates and forward rates以及bid-offer spread

解析: 题目中说投资者要买GBP,那么就应该使用DEALER关于GBP的卖价做加交易。所以可得

JPY225,000.000129.69  JPY/GBP=GBP1,734,906\frac{JPY225,000.000}{129.69\;JPY/GBP}=GBP1,734,906






Given Eng's expectation for spot rates, the first-year return on a 3-year zero-coupon bond is closest to: 1.95%

这道题讲解下,没有懂


1 个答案

笛子_品职助教 · 2024年10月24日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~

从这题看,我们可以有两种投资方法。


一是,今天,一次性投资3年,每年收益率1.45%。

则总收益率为:(1+1.45%)^3

二是,今天,先投1年,收益率0.75%。到期后再投一年,收益率1.65%。到期后再投1年,收益率1.95%。


这两个收益率需要相等。

(1+1.45%)^3 = (1+0.75%)*(1+1.65%)*(1+1.95%)

这是f(2,1)=1.95%的由来。也就是2年后的1年期利率是1.95%。


同学如果有任何不理解的地方,都是可以随时继续追问的。

祝学习顺利,逢考必过~

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

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