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Jing · 2024年05月07日

解析里的这句话是什么意思？

  1. CFA I
  2. Economics Analysis

NO.PZ2023061903000027

问题如下：

Q. The JPY/AUD spot exchange rate is 82.42, the Japanese yen interest rate is 0.15 percent, and the Australian dollar interest rate is 4.95 percent. If the interest rates are quoted on the basis of a 360-day year, the 90-day forward points in JPY/AUD would be closest to:

选项：

A.–377.0.
B.–97.7. C.98.9.

解释：

B is correct. The forward exchange rate is given by:

FJPYAUD=SJPYAUD1+rJPYτ1+rAUDτ=82.421+0.0015903601+0.049590360=82.42×0.98815=81.443.

The forward points are as follows:

100 × (F × S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7.

Because the spot exchange rate is quoted with two decimal places, the forward points are scaled by 100.

解析里的这句话是什么意思？Because the spot exchange rate is quoted with two decimal places, the forward points are scaled by 100.


为什么那个第一步算出来的81.443不是正确答案呢？题目不就是让求the 90-day forward points in JPY/AUD 吗？

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笛子_品职助教 · 2024年05月07日

嗨，努力学习的PZer你好：


为什么那个第一步算出来的81.443不是正确答案呢？

第一步算出来的81.443是指forward的价格。

而本题要计算forward points。

因为forward的价格，不是forward points，所以不对。


题目不就是让求the 90-day forward points in JPY/AUD 吗？

是的，同学理解正确。

题目确实是计算forward points。

同学这里注意：

forward points = forward price - spot price

forward points 不等于 forward price。




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