怎么知道是考covered interest rate这个知识点呢

NO.PZ201710020100000106

B.

–0.0010.

C.

+0.0010.

解释：

B is correct.

Using covered interest rate parity, the forward rate is

$F_{f/d}=S_{f/d}{(\frac{1+i_f{\lbrack\frac{Actual}{360}\rbrack}}{1+i_f{\lbrack\frac{Actual}{360}\rbrack}})}$

$=1.5764{(\frac{1+0.0033{\lbrack\frac{Actual}{360}\rbrack}}{1+0.0058{\lbrack\frac{Actual}{360}\rbrack}})}$

Because the domestic rate (Libor) is higher than the non-domestic rate, the forward rate will be less than the spot, giving a forward discount of

F_f/d - S_f/d = 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 USD/GBP 的远期汇率水平，即：

$F_{f/d}=S_{f/d}{(\frac{1+i_f{\lbrack\frac{Actual}{360}\rbrack}}{1+i_f{\lbrack\frac{Actual}{360}\rbrack}})}$

$=1.5764{(\frac{1+0.0033{\lbrack\frac{Actual}{360}\rbrack}}{1+0.0058{\lbrack\frac{Actual}{360}\rbrack}})}$

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。

F_f/d - S_f/d = 1.5754 - 1.5764 = -0.0010