forward points

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:

F_{\frac{J P Y}{A U D}} = S_{\frac{J P Y}{A U D}} (\frac{1 + r_{J P Y} τ}{1 + r_{A U D} τ}) = 82.42 (\frac{1 + 0.0015 (\frac{90}{360})}{1 + 0.0495 (\frac{90}{360})})

= 82.42 \times 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.

forward points 定义是什么，forward points = forward price - spot price这个知识点在哪里呢？

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笛子_品职助教 · 2024年08月16日

嗨，努力学习的PZer你好：

Hello，亲爱的同学~

forward points的定义，同学理解是对的。

就是同学说的：forward points = forward price - spot price

这一定义并不在正文里，而是来自例题，基础讲义240页。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2023061903000027 问题如下 Q. The JPY/AUspot exchange rate is 82.42, the Japanese yen interest rate is 0.15 percent, anthe Australillinterest rate is 4.95 percent. If the interest rates are quoteon the basis of a 360-y year, the 90-y forwarpoints in JPY/AUwoulclosest to: A.–377.0. B.–97.7. C.98.9. B is correct. The forwarexchange rate is given by:FJPYAUSJPYAU+rJPYτ1+rAU=82.421+0.0015903601+0.049590360=82.42×0.98815=81.443.The forwarpoints are follows:100 × (F × S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7.Because the spot exchange rate is quotewith two cimplaces, the forwarpoints are scale100. 那个带e的公式是什么时候用的？

2024-11-04 20:46 1 · 回答

答案判断及提示不正确题目要求F，但解析直接说F=81.443，怎么来的？

2024-10-16 12:37 1 · 回答

答案判断及提示不正确题目要求F，但解析直接说F=81.443，怎么来的？

2024-10-16 12:37 1 · 回答

2024-08-03 17:00 2 · 回答