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shuangzili · 2022年03月09日

这句话理解错了把？

  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.

 the 90day Libor rates for the USD and the GBP are 1.065% and 1.620%


这说的是90天的usd利率是1.065%，那360天应该是1.065%/（90/360），答案是1.065%*（90/360）和我的刚好相反？

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1 个答案

笛子_品职助教 · 2022年03月09日

嗨，爱思考的PZer你好：


这说的是90天的usd利率是1.065%


这里说的不是90天期限的USD利率是1.065%

这里说的是90天期限USD的年化利率是1.065%

注意区别，一年的利率才是1.065%，不是90天就有1.065%


那360天应该是1.065%/（90/360）

360天就是1.065%


答案是1.065%*（90/360）和我的刚好相反？

1.065%*（90/360）是计算90天的持有期收益率。





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