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remoo · 2020年01月04日

问一道题:NO.PZ2016010801000112

问题如下:

The spot exchange rate for USD relative to Euro is 1.1607 USD/EUR, and the 90-day forward rate is 1.1624 USD/EUR. Based on the above information, USD is:

选项:

A.

trading a 90-day forward premium of 0.14%

B.

trading a 90-day forward discount of 0.14%

C.

trading a 90-day forward premium of 0.15%

解释:

B is correct.

The spot EUR/USD is 1/1.1607=0.8615, and the forward EUR/USD is 1/1.1624=0.8603. 0.8603/0.8615-1=-0.14%, which means a forward discount of 14%

考点: forward premium /discount

解析:资本项目包括资本转移和非金融资产的买卖。
现货欧元/美元为1/1.1607=0.8615,远期欧元/美元为1/1.1624=0.8603。0.8603/0.8615-1=-0.14%,即远期贴水14%

汇率市场是零和交易,所以不用换算为1/1.1607,直接用(1.1624-1.1607)/1.1607,但是因为是欧元兑美元的升值,所以反过来,就是美元兑欧元的贬值,即Discount,对吗?

1 个答案

源_品职助教 · 2020年01月06日

同学,我们课上专门说过,你这样的算法是不对的。

因为基础货币不一样,所以A对B的升值不等于B对A的贬值。

如果小数位算的非常精确,两者的结果是不一致的。所以需要用解析中给的方法做出解答。

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