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华赞 · 2024年10月27日

解释一下forward ask ,forward bid

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000201

问题如下：

An FX trader wants to enter into a 6-month EUR/USD forward contract and gathers the following information:

· The spot bid is USD 1.2200 per EUR 1

· 1-month forward ask is USD 1.2208 per EUR 1

· Points for 1-month, 3-month, 6-month and 1-year maturities are 6.0, 22.5, 45.0 and 97.7, respectively

· Points are the same for bid and ask across all maturities

How much will it cost to enter into a long 6-month forward contract?

选项：

A.

USD 1.2155 per EUR 1

B.

USD 1.2245 per EUR 1

C.

USD 1.2247 per EUR 1

D.

USD 1.2253 per EUR 1

解释：

C is correct. To enter into a long 6-month forward contract, we need to find the 6-month forward ask price. The first step is to calculate the spot-ask from the provided information.

Spot ask = 1-month forward ask-1-month points/10,000 = 1.2208 − 6.0/10,000 = 1.2202

Then add the 6-month ask points to the spot-ask found in the prior step:6-months forward ask = 1.2202 + 45.0/10000 = 1.2247

A is incorrect

6-months forward bid is 1.2200 − 45.0/10,000 = 1.2155

B is incorrect

If instead of spot ask use bid,

6-months forward ask is 1.2200 + 45.0/10,000 = 1.2245

D is incorrect

If instead of spot ask use 1-month forward ask,

6-months forward ask is 1.2208 + 45.5/10,000 = 1.2253

解析好像想把几种情况都说明，但是看不明白



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1 个答案

pzqa39 · 2024年10月28日

嗨，爱思考的PZer你好：


这道题的核心在于理解如何计算远期汇率的买入价（ask）和卖出价（bid），特别是如何从给定的现货汇率、一个月远期汇率、以及远期点数计算出6个月远期的报价。

根据题目给出的信息：

现货买价（spot bid） = 1.2200

1个月远期卖价（1-month forward ask） = 1.2208

远期点数（forward points）:1个月: 6.0；3个月: 22.5；6个月: 45.0；1年: 97.7

远期点数是基于EUR/USD报价，并且给定的点数对买价和卖价都相同。

题目要求计算6个月的远期卖价（6-month Forward Ask），而远期卖价通常基于现货卖价计算。这里没有直接给出现货卖价，而是给出了1个月的远期卖价和1个月的点数。所以，第一步是通过1个月远期卖价反推出现货卖价。可以使用1个月远期卖价和1个月的点差来计算：

计算6个月远期卖价，刚刚计算的现货卖价，再加上6个月的远期点数来计算6个月远期卖价

代入数值之后就是这道题的答案了。


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