问一道题：NO.PZ201512020800000103 第3小题 [ CFA II ]：

NO.PZ201512020800000103 问题如下 3. Baseon Exhibit 3, the potentiall-in USreturn on the carry tra is closest to: A.1.04%. B.1.40%. C.1.84%. A is correct.The carry tra involves borrowing in a lower yielng currento invest in a higher yielng one annetting any profit after allowing for borrowing costs anexchange rate movements. The relevant tra is to borrow USanlenin Euros. To calculate the all-in USreturn from a one-yeEUR Libor posit, first termine the current anone-yelater USEUR exchange rates. Because one USbuys C1.0055 toy, anone Cbuys EUR 0.7218 toy, toy’s EUR/USrate is the proof these two numbers:1.0055 × 0.7218 = 0.7258. The projecterate one yelater is: 1.0006 × 0.7279 = 0.7283. Accorngly, measurein llars, the investment return for the unheeEUR Libor posit is equto:(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%However, the borrowing costs must chargeagainst this gross return to funthe carry tra investment (one-yeUSLibor w0.80%). The net return on the carry tra is thereclosest to: 1.84% – 0.80% = 1.04%.考点Carry tra， 是二级经济必考的一个知识点。解析整体的逻辑就是从利率低的国家借钱投资到利率高的国家，这道题从表格可以看出美国的利率最低，而欧洲的利率最高，因此我们要从美国借钱投资到欧洲，然后再换回美元，再减去美元的资金成本，可以得到all-in return。第一步，我们需要确定即期以及一年之后USEUR的汇率报价，根据表3，利用交叉汇率可得 EUR/USCAUSEUR/CA即期汇率1.0055 × 0.7218 = 0.7258一年后的汇率:1.0006 × 0.7279 = 0.7283接着我们套用 carry tra 的公式，计算得到借美元，投欧元的投资收益(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%注意到，借美元本身也有成本，那就是美元的利息，所以在计算all-in return时需要把这部分利息扣去这部分成本，最终得到1.84% – 0.80% = 1.04%. 为什么不可以（0.7258*1.022）/（0.7283*1.008）-1=1.04% 而且结果居然也是对的

NO.PZ201512020800000103问题如下 3. Baseon Exhibit 3, the potentiall-in USreturn on the carry tra is closest to:A.1.04%.B.1.40%.C.1.84%.A is correct.The carry tra involves borrowing in a lower yielng currento invest in a higher yielng one annetting any profit after allowing for borrowing costs anexchange rate movements. The relevant tra is to borrow USanlenin Euros. To calculate the all-in USreturn from a one-yeEUR Libor posit, first termine the current anone-yelater USEUR exchange rates. Because one USbuys C1.0055 toy, anone Cbuys EUR 0.7218 toy, toy’s EUR/USrate is the proof these two numbers:1.0055 × 0.7218 = 0.7258. The projecterate one yelater is: 1.0006 × 0.7279 = 0.7283. Accorngly, measurein llars, the investment return for the unheeEUR Libor posit is equto:(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%However, the borrowing costs must chargeagainst this gross return to funthe carry tra investment (one-yeUSLibor w0.80%). The net return on the carry tra is thereclosest to: 1.84% – 0.80% = 1.04%.考点Carry tra， 是二级经济必考的一个知识点。解析整体的逻辑就是从利率低的国家借钱投资到利率高的国家，这道题从表格可以看出美国的利率最低，而欧洲的利率最高，因此我们要从美国借钱投资到欧洲，然后再换回美元，再减去美元的资金成本，可以得到all-in return。第一步，我们需要确定即期以及一年之后USEUR的汇率报价，根据表3，利用交叉汇率可得 EUR/USCAUSEUR/CA即期汇率1.0055 × 0.7218 = 0.7258一年后的汇率:1.0006 × 0.7279 = 0.7283接着我们套用 carry tra 的公式，计算得到借美元，投欧元的投资收益(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%注意到，借美元本身也有成本，那就是美元的利息，所以在计算all-in return时需要把这部分利息扣去这部分成本，最终得到1.84% – 0.80% = 1.04%.问一下要算USEUR，为啥你算的是EUR/US是做倒数么

NO.PZ201512020800000103 问题如下 ESmith is a new trainee in the foreign exchange (FX) services partment of a major globbank. Smith’s focus is to assist senior FX trar, Feliz Mehmet, CFMehmet mentions thIncorporate client exporting to the UniteKingm wants to estimate the potentiheing cost for a sale closing in one year. Smith is to termine the premium/scount for annu(360 y) forwarcontrausing the exchange rate ta presentein Exhibit 1.Exhibit 1. SeleCurrenta for GanINR Mehmet is also looking two possible tras to termine their profit potential. The first tra involves a possible triangularbitrage tra using the Swiss, US anBrazilicurrencies, to executebaseon a aler’s bioffer rate quote of 0.5161/0.5163 in CHF/BRL anthe interbank spot rate quotes presentein Exhibit 2.Exhibit 2. Interbank Market QuotesMehmet is also consiring a carry tra involving the USanthe Euro. He anticipates it will generate a higher return thbuying a one-yemestic note the current market quote e to low US interest rates anhis prections of exchange rates in one year. To help Mehmet assess the carry tra, Mehmet provis Smith with selectecurrent market ta anhis one yeforecasts in Exhibit 3.Exhibit 3. Spot Rates anInterest Rates for ProposeCarry TraFinally, Mehmet asks Smith to assist with a tra involving a US multinationcustomer operating in Europe anJapan. The customer is a very cost conscious instricompany with a cret rating anstrives to execute its currentras the most favorable bioffer sprea Because its Japanese subsiary is about to close on a major Europeacquisition in three business ys, the client wants to loin a tra involving the Japanese yen anthe Euro early possible the next morning, preferably 8:05 New York time.lunch, Smith another FX trainees scuss how best to analyze currenmarket volatility from ongoing financicrises. The group agrees tha theoreticexplanation of exchange rate movements, suthe framework of the internationparity contions, shoulapplicable across all trang environments. They note suanalysis shoulenable trars to anticipate future spot exchange rates. But they sagree on whiparity contion best prects exchange rates, voicing severfferent assessments. Smith conclus the scussion on parity contions stating to the trainees:“I believe thin the current environment both covereanuncovereinterest rate parity contions are in effect.”The conversation next shifts to exchange rate assessment tools, specifically the techniques of the IMF Consultative Group on Exchange Rate Issues (CGER). CGER uses a three-part approainclung the Macroeconomic BalanApproach, the ExternSustainability Approach, ana ReceForm Econometric Mol. Smith asks Trainee #1 to scrithe three approaches. In response, Trainee #1 makes the following statements to the other trainees anSmith:Statement 1 Macroeconomic Balanfocuses on the stocks of outstanng assets anliabilities.Statement 2 ReceForm ha weakness in unrestimating future appreciation of unrvaluecurrencies.Statement 3 ExternSustainability centers on austments leang to long-term equilibrium in the capitaccount.3. Baseon Exhibit 3, the potentiall-in USreturn on the carry tra is closest to: A.1.04%. B.1.40%. C.1.84%. A is correct.The carry tra involves borrowing in a lower yielng currento invest in a higher yielng one annetting any profit after allowing for borrowing costs anexchange rate movements. The relevant tra is to borrow USanlenin Euros. To calculate the all-in USreturn from a one-yeEUR Libor posit, first termine the current anone-yelater USEUR exchange rates. Because one USbuys C1.0055 toy, anone Cbuys EUR 0.7218 toy, toy’s EUR/USrate is the proof these two numbers:1.0055 × 0.7218 = 0.7258. The projecterate one yelater is: 1.0006 × 0.7279 = 0.7283. Accorngly, measurein llars, the investment return for the unheeEUR Libor posit is equto:(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%However, the borrowing costs must chargeagainst this gross return to funthe carry tra investment (one-yeUSLibor w0.80%). The net return on the carry tra is thereclosest to: 1.84% – 0.80% = 1.04%.考点Carry tra， 是二级经济必考的一个知识点。解析整体的逻辑就是从利率低的国家借钱投资到利率高的国家，这道题从表格可以看出美国的利率最低，而欧洲的利率最高，因此我们要从美国借钱投资到欧洲，然后再换回美元，再减去美元的资金成本，可以得到all-in return。第一步，我们需要确定即期以及一年之后USEUR的汇率报价，根据表3，利用交叉汇率可得 EUR/USCAUSEUR/CA即期汇率1.0055 × 0.7218 = 0.7258一年后的汇率:1.0006 × 0.7279 = 0.7283接着我们套用 carry tra 的公式，计算得到借美元，投欧元的投资收益(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%注意到，借美元本身也有成本，那就是美元的利息，所以在计算all-in return时需要把这部分利息扣去这部分成本，最终得到1.84% – 0.80% = 1.04%. 为什么计算美元/欧元，而不是欧元/美元？

NO.PZ201512020800000103问题如下 Whpercentage of taset Ashoulallocateto a training subset? A.0%B.20%C.60% A is correct; 0% of the master taset of taset Ashoulallocateto a training subset. taset Ais characterizethe absenof grountruth (i.e., no known outcome or target variable) anis therefore unsuperviseML mol. For unsuperviselearning mols, no splitting of the master taset is nee because of the absenof labeletraining tSuperviseML tasets (with labeletraining tcontain grountruth, the known outcome (target variable) of eaobservation in the taset.B is incorrebecause 20% is the commonly recommensplit for the crossvalition set antest set in supervisetraining ML tasets. C is incorrebecause 60% is the commonly recommensplit for the training set in supervisetraining ML tasets. 看到提问都不是这道题目的内容，

NO.PZ201512020800000103 问题如下 3. Baseon Exhibit 3, the potentiall-in USreturn on the carry tra is closest to: A.1.04%. B.1.40%. C.1.84%. A is correct.The carry tra involves borrowing in a lower yielng currento invest in a higher yielng one annetting any profit after allowing for borrowing costs anexchange rate movements. The relevant tra is to borrow USanlenin Euros. To calculate the all-in USreturn from a one-yeEUR Libor posit, first termine the current anone-yelater USEUR exchange rates. Because one USbuys C1.0055 toy, anone Cbuys EUR 0.7218 toy, toy’s EUR/USrate is the proof these two numbers:1.0055 × 0.7218 = 0.7258. The projecterate one yelater is: 1.0006 × 0.7279 = 0.7283. Accorngly, measurein llars, the investment return for the unheeEUR Libor posit is equto:(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%However, the borrowing costs must chargeagainst this gross return to funthe carry tra investment (one-yeUSLibor w0.80%). The net return on the carry tra is thereclosest to: 1.84% – 0.80% = 1.04%.考点Carry tra， 是二级经济必考的一个知识点。解析整体的逻辑就是从利率低的国家借钱投资到利率高的国家，这道题从表格可以看出美国的利率最低，而欧洲的利率最高，因此我们要从美国借钱投资到欧洲，然后再换回美元，再减去美元的资金成本，可以得到all-in return。第一步，我们需要确定即期以及一年之后USEUR的汇率报价，根据表3，利用交叉汇率可得 EUR/USCAUSEUR/CA即期汇率1.0055 × 0.7218 = 0.7258一年后的汇率:1.0006 × 0.7279 = 0.7283接着我们套用 carry tra 的公式，计算得到借美元，投欧元的投资收益(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%注意到，借美元本身也有成本，那就是美元的利息，所以在计算all-in return时需要把这部分利息扣去这部分成本，最终得到1.84% – 0.80% = 1.04%. 0.018352-0.8%，如果按计算器的时候，先按0.018352，再摁减去0.008，那么结果就是1.04%。如果先按0.018352，再摁0.8，再摁百分号，得到的结果就是错的，为什么？