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小蜜蜂jj1 · 2022年01月08日

FORWARD到底求什么

  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. .

为什么问题里都是求FORWARD，解答中有时候需要减去S，有时候不需要？

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1 个答案

笛子_品职助教 · 2022年01月09日

嗨，爱思考的PZer你好：


区分两个概念：

一是forward，二是forward points

forward指远期汇率。用F表示

forward points指远期汇率相对即期汇率相差多少点数。在本题中，用 forward points = 100 × (F – S)


本题问的是forward points，要求计算forward points。


计算方法分为两步：

第一步，计算出forward

第二步，计算出forward points

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