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Terry1988 · 2024年07月13日

6.8%利率不需要折算成三个月吗

  1. CFA I
  2. Economics Analysis

NO.PZ2023010401000153

问题如下：

A three-month forward exchange rate in CAD/USD is listed by a dealer at 1.0123. The dealer also quotes 3-month forward points as a percentage at 6.8%. The CAD/USD spot rate is closest to:

选项：

A.0.9478.

B.1.0550.

C.1.0862.

解释：

Given the forward rate and forward points as a percentage, the unknown in the calculation is the spot rate.

The calculation is as follows:

Spot rate X (1 + Forward points as a percentage) = Forward rate

Spot rate X (1 + 0.068) = 1.0123

Spot = 1.0123/1.068 = 0.9478

中文解析：

给定远期汇率和远期点数作为百分比，计算中的未知因素是即期汇率。

计算如下:

即期汇率X(1 +远期点的百分比)=远期汇率

即期汇率X (1 + 0.068) = 1.0123

现货= 1.0123/1.068 = 0.9478

老师好，6.8%利率不需要折算成三个月吗

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笛子_品职助教 · 2024年07月14日

嗨，爱思考的PZer你好：


6.8%利率不需要折算成三个月吗

如果是利率，确实需要折算。

在利率的理解上，同学是正确的。


但本题的6.8%，不是利率。

quotes 3-month forward points as a percentage at 6.8%

意思是：3个月forward的价格，比spot价格，高6.8%。

它不是利率，所以不需要做折算。

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