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Suechen · 2020年07月04日

问一道题:NO.PZ2016010802000209 [ CFA I ]

问题如下:

A BRL/MXN spot rate is listed by a dealer at 0.1378. The 6-month forward rate is 0.14193. The 6-month forward points are closest to:

选项:

A.

–41.3.

B.

+41.3.

C.

+299.7.

解释:

B is correct.

The number of forward points equals the forward rate minus the spot rate, or 0.14193 0.1378 = 0.00413, multiplied by 10,000: 10,000 × 0.00413= 41.3 points. By convention, forward points are scaled so that ±1 forward point corresponds to a change of ±1 in the last decimal place of the spot exchange rate.

考点: forward point

解析: 0.14193 0.1378 = 0.00413,

10,000 × 0.00413= 41.3 points.

注意到,最后一步可以乘以100(小数点位数较少时)也可以乘以10,000(小数点位数较多时)

forward points和F-S/S的公式代表的含义有什么不同啊
1 个答案

源_品职助教 · 2020年07月05日

嗨,努力学习的PZer你好:


forward points 是一个变化的绝对值,就是F-S

(F-S)/S是一个变化百分比的概念。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!