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Spencer · 2023年01月09日

如果题目改成EUR/GBP中的EUR升值了7%,Rfx应该如何计算呢?

NO.PZ2018111501000002

问题如下:

Aron wants to analyze the foreign-currency return for Portfolio Y. The domestic currency is EUR and the foreign currency is GBP. It is known that the domestic-currency return is 2%, and GBP appreciated 7% against the EUR.

The foreign-currency portfolio return is:

选项:

A.

-4.67%

B.

9.68%

C.

4.90%

解释:

A is correct.

考点:Currency Risk & Portfolio Return and Risk

RDC=(1+RFC)(1+RFX)1R_{DC}=(1+R_{FC})(1+R_{FX})-1

已知domestic-currency return is 2%, 即 RDC=2%R_{DC}=2\%。GBP appreciated 7% against the EUR,根据EUR/GBP(DC/FC)的外汇报价方式,GBP升值7%,即 RFX=7%R_{FX}=7\%。代入公式,可以求出 RFC=4.67%R_{FC}=-4.67\%

老师请问,如果题目改成EUR/GBP中的EUR升值了7%,Rfx应该如何计算呢?

2 个答案
已采纳答案

Hertz_品职助教 · 2023年01月11日

嗨,爱思考的PZer你好:


同学你好

确切且符合考试设定的说是:一般(绝大多数的情况)都是研究外币的,汇率表达形式是DC/FC的形式。

计算Rfx自然也是基于DC/FC的表达形式。

如果遇到题目给到是DC升贬值的情况,就先转换成FC是贬升值的情景,再去分析或者计算就行了。

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Hertz_品职助教 · 2023年01月10日

嗨,从没放弃的小努力你好:


同学你好

首先需要说一下同学这样的改法其实是有些问题的。

既然说EUR升值了7%,那么如果EUR是外币的话,Rfx就是7%了。

但是要是说GBP是研究对象的话,那么EUR升职了7%,意味着GBP是贬值了1/7%这么些。GBP既然是遗憾就对象,那么汇率表达形式就是是EUR/GBP,在这种情况下Rfx就是1/7%。

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