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月乔DD · 2019年11月10日

问一道题:NO.PZ201512020800000101

* 问题详情,请 查看题干

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:

[#PZMATH192#]

[#PZMATH193#] is the spot rate with GBP the base currency or d, and INR the foreign currency or f. [#PZMATH193#] per Exhibit 1 is 79.5093,[#PZMATH195#]  is equal to 7.52% and [#PZMATH196#]< 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:

[#PZMATH197#]

[#PZMATH198#]

[#PZMATH199#]

考点利率平价公式的计算.

解析Covered IRP:

[#PZMATH192#]

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:

[#PZMATH197#]

[#PZMATH198#]

[#PZMATH199#]

请问,题目并没有说IRP, 怎么样知道考的是这个知识点呢?

1 个答案

源_品职助教 · 2019年11月11日

因为问题说了参考表一,表一给的利率,依据不同国家利率水平就汇率,只能要用 利率平价理论,又因为题目中涉及了远期这个套利工具,所以就用COVERD的公式。

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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 这个答案的公式怎么看不懂,和课件的不一样啊,下图左边是课件,右边是答案。按照课件算出来的结果和答案算出来的不一样

2023-11-10 14:12 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.1.546C.1.576C 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答案写的得很乱,建议用常规公式直接算

2022-06-06 09:49 1 · 回答

NO.PZ201512020800000101 具体原理是什么

2021-12-14 13:56 1 · 回答

NO.PZ201512020800000101 this is a test. pls ignore.

2021-11-01 10:49 2 · 回答

NO.PZ201512020800000101 我算出来时1.5839,都不对啊。F/S = (1+Rinr)/(1+Rgbp),算出来F等于81.0932,F-S就等于1.5839啊。 麻烦老师解答一下,谢谢

2021-09-04 21:29 1 · 回答