问一道题：NO.PZ201710020100000106 第6小题 [ CFA II ]

NO.PZ201710020100000106 请问1.2295从哪里来呢？

NO.PZ201710020100000106 –0.0010. +0.0010. B is correct. Using covereinterest rate parity, the forwarrate is Ff/Sf/1+if[Actual360]1+if[Actual360])F_{f/=S_{f/{(\frac{1+i_f{\lbrack\frac{Actual}{360}\rbrack}}{1+i_f{\lbrack\frac{Actual}{360}\rbrack}})}Ff/=Sf/(1+if​[360Actual​]1+if​[360Actual​]​) =1.5764(1+0.0033[Actual360]1+0.0058[Actual360])=1.5764{(\frac{1+0.0033{\lbrack\frac{Actual}{360}\rbrack}}{1+0.0058{\lbrack\frac{Actual}{360}\rbrack}})}=1.5764(1+0.0058[360Actual​]1+0.0033[360Actual​]​) Because the mestic rate (Libor) is higher ththe non-mestic rate, the forwarrate will less ththe spot, giving a forwarscount of Ff/- Sf/= 1.5754 - 1.5764 = -0.0010 考点Interest rate parity 解析，根据利率平价理论的公式，我们首先可以求得 USG的远期汇率水平，即 Ff/Sf/1+if[Actual360]1+if[Actual360])F_{f/=S_{f/{(\frac{1+i_f{\lbrack\frac{Actual}{360}\rbrack}}{1+i_f{\lbrack\frac{Actual}{360}\rbrack}})}Ff/=Sf/(1+if​[360Actual​]1+if​[360Actual​]​) =1.5764(1+0.0033[Actual360]1+0.0058[Actual360])=1.5764{(\frac{1+0.0033{\lbrack\frac{Actual}{360}\rbrack}}{1+0.0058{\lbrack\frac{Actual}{360}\rbrack}})}=1.5764(1+0.0058[360Actual​]1+0.0033[360Actual​]​) 然后我们用远期汇率减去即期汇率直接得到升贴水的情况。 Ff/- Sf/= 1.5754 - 1.5764 = -0.0010 如题，也许是uncovereinterest rate？

算的答案不一样，麻烦问一下我的计算过程是否正确1.5764*［(0.33%-0.58%)*1/4］/(1+0.58%*1/4）

    为什么S取得是中间价呢？