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· 2021年03月08日

疑惑

  1. CFA I
  2. Economics Analysis

NO.PZ2016010802000213

问题如下：

The JPY/AUD spot exchange rate is 82.42, the JPY interest rate is 0.15%, and the AUD interest rate is 4.95%. If the interest rates are quoted on the basis of a 360-day year, the 90-day forward points in JPY/AUD would be closest to:

选项：

A.

–377.0.

B.

–97.7.

C.

98.9.

解释：

B is correct.

The forward exchange rate is given by

FJPY/AUD=S(JPY/AUD)(1+ijpy)/(1+iAUD)=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443

The forward points are 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. Note that because the spot exchange rate is quoted with two decimal places, the forward points are scaled by 100.

考点：Forward Premium and Discount

解析：第一步，先算得远期汇率水平，

FJPY/AUD=S(JPY/AUD)(1+ijpy)/(1+iAUD)=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443

第二步，计算forward points 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. .

算出来的81.443是90天的 82.42是一年的 为何不要单利算到90天
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1 个答案

丹丹_品职答疑助手 · 2021年03月09日

嗨，从没放弃的小努力你好：


同学你好，我们计算口径都是按照年进行计算forward points 否则无法可比，forward point这种报价都是年化形式，同学可作为知识点记一下

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

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