问题如下:
Based on following data, please calculate the forward premium for a 180-day RMB/USD forward contract
选项:
A. 0.04132.
B. 0.04233.
C. 0.04155.
解释:
C is correct.
考点:利率平价公式的计算.
解析:Covered IRP: F/S=(1+rRMB)/(1+rUSD)
计算forward premium时上述公式两边同时减去1
得到(F-S)/S=(rRMB-rUSD)/(1+rusd)
代入数字:F-S=6.7659*{4.80%*(1/2)-3.55%*(1/2)}/{(1+3.55%*(1/2)}=0.04155
表格里已经写了是180的libor为什么还要乘以天数?