开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

呆小西 · 2021年02月14日

怎么算F比S高?

NO.PZ2018091706000045

问题如下:

Analyst Bob is studying foreign exchange market. He observes that:

1. The spot exchange market rate is 1.5500 USD/GBP for bid and 1.5505 for ask.

2. The 6-month forward rate is 1.5532 USD/GBP for bid and 1.5540 for ask.

So, Bob can get which of the following conclusions?

选项:

A.

The 6-month USD interest rate is less than the 6-month GBP interest rate.

B.

The 6-month USD interest rate is greater than the 6-month GBP interest rate.

C.

The 6-month USD interest rate is equal to the 6-month GBP interest rate.

解释:

B is correct.

考点:Interest rate parity

解析:根据利率平价理论,我们可以得到如下公式:

FUSD/GBP=SUSD/GBP(1+iUSD(180360)1+iGBP(180360))F_{USD/GBP}=S_{USD/GBP}{(\frac{1+i_{USD}{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}

现在分析师Bob观察到的结果是F>S。因此,等式右边(1+iUSD(180360)1+iGBP(180360))(\frac{1+i_{USD}{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})这一项数值一定大于1。所以该项中分子的iUSDi_{USD} 分母的iGBPi_{GBP}。所以选B。

这题目的spot rate和forward rate都需要用(bid+ask)/2的middle rate算吗?

1 个答案

丹丹_品职答疑助手 · 2021年02月15日

嗨,爱思考的PZer你好:


同学你好,因为forward rate,不论是1.5532 >1.5500 还是1.5540 >1.5505

都是F>S

我们一般会根据题干信息选择ask 或者bid  ,当然关于本题是可以用mid rate的 因为也不会出一个bid spot大一个 forward ask大的情况。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


Russwest · 2024年08月19日

为什么观察到f>s,右边等式一定要大于1?

  • 1

    回答
  • 0

    关注
  • 663

    浏览
相关问题

NO.PZ2018091706000045 问题如下 Analyst Bob is stuing foreign exchange market. He observes that:1. The spot exchange market rate is 1.5500 USGfor bian1.5505 for ask.2. The 6-month forwarrate is 1.5532 USGfor bian1.5540 for ask.So, Bob cget whiof the following conclusions? A.The 6-month USinterest rate is less ththe 6-month Ginterest rate. B.The 6-month USinterest rate is greater ththe 6-month Ginterest rate. C.The 6-month USinterest rate is equto the 6-month Ginterest rate. B is correct.考点Interest rate parity解析根据利率平价理论,我们可以得到如下公式FUSGBP=SUSGBP(1+iUS180360)1+iGBP(180360))F_{USGBP}=S_{USGBP}{(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}FUSGBP​=SUSGBP​(1+iGBP​(360180​)1+iUS(360180​)​)现在分析师Bob观察到的结果是F S。因此,等式右边(1+iUS180360)1+iGBP(180360))(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})(1+iGBP​(360180​)1+iUS(360180​)​)这一项数值一定大于1。所以该项中分子的iUS_{USiUS 分母的iGBPi_{GBP}iGBP​。所以选 No.PZ2018091706000045 (选择题)这道题,USGBP提高了,GBP升值,升值不应该说明利率更高吗?因为利率高,相应货币会增值,为啥反而是US率更高?

2024-04-10 22:49 1 · 回答

NO.PZ2018091706000045 问题如下 Analyst Bob is stuing foreign exchange market. He observes that:1. The spot exchange market rate is 1.5500 USGfor bian1.5505 for ask.2. The 6-month forwarrate is 1.5532 USGfor bian1.5540 for ask.So, Bob cget whiof the following conclusions? A.The 6-month USinterest rate is less ththe 6-month Ginterest rate. B.The 6-month USinterest rate is greater ththe 6-month Ginterest rate. C.The 6-month USinterest rate is equto the 6-month Ginterest rate. B is correct.考点Interest rate parity解析根据利率平价理论,我们可以得到如下公式FUSGBP=SUSGBP(1+iUS180360)1+iGBP(180360))F_{USGBP}=S_{USGBP}{(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}FUSGBP​=SUSGBP​(1+iGBP​(360180​)1+iUS(360180​)​)现在分析师Bob观察到的结果是F S。因此,等式右边(1+iUS180360)1+iGBP(180360))(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})(1+iGBP​(360180​)1+iUS(360180​)​)这一项数值一定大于1。所以该项中分子的iUS_{USiUS 分母的iGBPi_{GBP}iGBP​。所以选 老师,请问这道题能否通过sprea化来选出答案呢?现在的sprea0.5,未来的sprea0.8,USGBP的sprea升能否判断出两个货币谁升值谁贬值呢?请问通过这个思路能不能得到答案呀

2023-10-31 15:00 1 · 回答

NO.PZ2018091706000045 问题如下 Analyst Bob is stuing foreign exchange market. He observes that:1. The spot exchange market rate is 1.5500 USGfor bian1.5505 for ask.2. The 6-month forwarrate is 1.5532 USGfor bian1.5540 for ask.So, Bob cget whiof the following conclusions? A.The 6-month USinterest rate is less ththe 6-month Ginterest rate. B.The 6-month USinterest rate is greater ththe 6-month Ginterest rate. C.The 6-month USinterest rate is equto the 6-month Ginterest rate. B is correct.考点Interest rate parity解析根据利率平价理论,我们可以得到如下公式FUSGBP=SUSGBP(1+iUS180360)1+iGBP(180360))F_{USGBP}=S_{USGBP}{(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}FUSGBP​=SUSGBP​(1+iGBP​(360180​)1+iUS(360180​)​)现在分析师Bob观察到的结果是F S。因此,等式右边(1+iUS180360)1+iGBP(180360))(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})(1+iGBP​(360180​)1+iUS(360180​)​)这一项数值一定大于1。所以该项中分子的iUS_{USiUS 分母的iGBPi_{GBP}iGBP​。所以选 汇率上升 US值 应该是US率低啊

2023-04-02 08:02 2 · 回答

NO.PZ2018091706000045 The 6-month USinterest rate is greater ththe 6-month Ginterest rate. The 6-month USinterest rate is equto the 6-month Ginterest rate. B is correct. 考点Interest rate parity 解析根据利率平价理论,我们可以得到如下公式 FUSGBP=SUSGBP(1+iUS180360)1+iGBP(180360))F_{USGBP}=S_{USGBP}{(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}FUSGBP​=SUSGBP​(1+iGBP​(360180​)1+iUS(360180​)​) 现在分析师Bob观察到的结果是F>S。因此,等式右边 (1+iUS180360)1+iGBP(180360))(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})(1+iGBP​(360180​)1+iUS(360180​)​)这一项数值一定大于1。所以该项中分子的 iUS_{USiUS 分母的 iGBPi_{GBP}iGBP​。所以选题目中并没有明确covereparity,直观的看是美元贬值了,但是美元的利率却高于英镑?

2021-11-14 21:55 1 · 回答