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欢欢 · 2021年09月02日

解答里面最后一步计算f中的10000是什么？

  1. CFA I
  2. Economics Analysis

NO.PZ2018062003000213

问题如下：

A research report produced by a dealer includes the followings datas. The USD/GBP spot exchange rate is 0.8465, the 90day Libor rates for the USD and the GBP are 1.065% and 1.620%. Which of the following options is the most accurate of the 90-day forward points(the interest rates are on a basis of a 360-day year) in USD/GBP ?

选项：

A.

–8.9.

B.

–12.

C.

12.

解释：

B is correct.

FUSD/GBP=S(USD/GBP)(1+iUSD)/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

The forward points are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.00012) = –12.

考点：Forward Premium and Discount

解析：

第一步，先算得远期汇率水平0.8453

F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

第二步，计算forward points ：10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.00012) = –12.

f不是等于(F – S) 吗

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2 个答案

丹丹_品职答疑助手 · 2021年09月10日

嗨，爱思考的PZer你好：


同学你好，1 base points =1/10000 这个算是常识吧，应该能百度到的那种。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

丹丹_品职答疑助手 · 2021年09月04日

嗨，从没放弃的小努力你好：


同学你好，1 base point=1/10000 =1/100%，这个是咱们之间计算外汇标价的时候讲过的。

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努力的时光都是限量版，加油！

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