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GS · 2023年05月08日

同问90day Libor rates

  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.

可否理解为：持有期为90天的拆借利率，即年利率已经*90/360，不必再算？

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1 个答案

笛子_品职助教 · 2023年05月10日

嗨，努力学习的PZer你好：


可否理解为：持有期为90天的拆借利率，即年利率已经*90/360，不必再算？


不可以这么理解的。

这里给出的利率（1.065% and 1.620%.）都是指年利率。

持有90天的的持有期收益率 = 年利率 *（90/360）

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