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甜甜 · 2022年12月06日

题目中给的不是已经是90-day libor rate了吗？为什么还要除以360

  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.

如题

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1 个答案

笛子_品职助教 · 2022年12月07日

嗨，从没放弃的小努力你好：


题目中给的不是已经是90-day libor rate了吗？为什么还要除以360


libor rate是年利率。而且我们通常所说的利率，一般都是指年利率的。

而90-day libor rate同学可以理解为，有一个年利率libor rate的债券，持有90天的收益率，可以理解为持有期收益率（holding period return）

所以我们要除以360。


其实就是一个约定俗成的表达方式了，看到这个表达，知道是什么含义就好了。





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