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milky · 2022年06月05日

关于FORWARD POINT

  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 × (–0.0012) = –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 × (–0.0012) = –12.

关于FORWARD POINT

是不是题目中给定了F或者S来确定FORWARD POINT 到底是乘以100还是10000

比如给定F是0.8765那算出来的差额就是乘以10000

比如给定F是87.65那就乘以100?

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1 个答案

笛子_品职助教 · 2022年06月07日

嗨，爱思考的PZer你好：


汇率表达形式的小数点后几位。

小数点后有4位，就乘以10000，0.8765那算出来的差额就是乘以10000

小数点后有2位，就乘以100，87.65那就乘以100


同学的理解是正确的。

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