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Amy_ywh · 2024年08月22日

老师这里S0 和S1的选择能解释一下吗，我做题的时候分子分母颠倒了

  1. CFA II
  2. Economics Analysis

* 问题详情，请 查看题干

NO.PZ202208160100000105

问题如下：

Based on the data in Exhibit 1, the expected net investment return on a one-year carry trade based on the JPY/EUR currency pair, measured in JPY terms, is closest to:

选项：

A.2.86%. B.3.10%. C.3.01%.

解释：

Solution

A is correct. In a carry trade, an investor will borrow in the low interest rate currency, the JPY, at 0.15% and invest in the high interest rate currency, the EUR, at 1.40%.

Calculate the current and one-year-later JPY/EUR cross-rates.

  1. Borrow JPY and buy USD for JPY117.66 (offer); then use USD to buy EUR for USD1.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.

  2. The one-year-later cross-rate for the JPY/EUR is calculated as 118.32 × 1.0984 = 129.963 = 129.96.

The net investment return for the unhedged EUR deposit, measured in JPY, is calculated as

[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86%

C is incorrect. It neglects to deduct the interest on the JPY loan.

[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01%

B is incorrect. It incorrectly uses the bid cross-rate in the first step.

117.62 × 1.0851 = 127.629 = 127.63

[1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10%

A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。

计算当前和一年后的日元/欧元交叉汇率。

借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。

一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。

未对冲欧元存款的净投资回报，以日元计算，计算公式为

[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%

C是不正确的。它忽略了扣除日元贷款的利息。

[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%

选项B不正确。它在第一步中错误地使用了买价交叉汇率。

117.62 × 1.0851 = 127.629 = 127.63

[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%

A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。

买价:0.9216 × 0.7050 = 0.64973 = 0.6497

因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。

C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。

买价:0.7050 × 1.0851 = 0.76500 = 0.7650

因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。

谢谢

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2 个答案

笛子_品职助教 · 2024年08月23日

嗨，从没放弃的小努力你好：


好的谢谢老师。这里想追加确认一下，如果我算除的时候习惯用1/汇率来算，是不是无论怎么变， 结果高的那一个会是Ask， 然后低得是bid？

是的，同学理解正确。

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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！

笛子_品职助教 · 2024年08月22日

嗨，从没放弃的小努力你好：


老师这里S0 和S1的选择能解释一下吗，我做题的时候分子分母颠倒了

Hello，亲爱的同学！

交叉汇率的计算规则是：相乘同边，相除对角。


我们看条件。

JPY/USD = 118.32，USD/EUR = 1.0984，如何计算JPY/EUR


1）先确定是相乘还是相除

我们看JPY/EUR = JPY/USD x USD/EUR，两个汇率乘起来，JPY/USD，分母USD，正好和，USD/EUR，分子的USD，抵消，就得到了JPY/EUR。


2）确定相乘后，使用相乘同边。

投资者的交易方向是，借入（卖出）日元，投资（买入）欧元。因此用ask价格。

相乘同边法则下：汇率1与汇率2的交叉ask 汇率 = 汇率1的ask 价格 * 汇率2的ask价格。

因此有：

S0：JPY/EUR offer = JPY/USD x USD/EUR = 117.66 × 1.0873 = 127.932

S1：JPY/EUR = JPY/USD x USD/EUR = 118.32 × 1.0984 = 129.96


同学这里就通过这道题掌握一下交叉汇率的计算法则：

第一步：确定乘法还是除法。

第二步：乘法用相乘同边，除法用相除对角。

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努力的时光都是限量版，加油！

Amy_ywh · 2024年08月23日

好的谢谢老师。这里想追加确认一下，如果我算除的时候习惯用1/汇率来算，是不是无论怎么变， 结果高的那一个会是Ask， 然后低得是bid？

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NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。

2024-07-23 23:27 1 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 这道题用的是哪个公式

2024-06-29 09:56 1 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 什么条件用的是mi什么条件用的offer？

2024-04-23 20:58 1 · 回答

NO.PZ202208160100000105 问题如下 Baseon the ta in Exhibit 1, the expectenet investment return on a one-yecarry tra baseon the JPY/EUR currenpair, measurein JPY terms, is closest to: A.2.86%. B.3.10%. C.3.01%. SolutionA is correct. In a carry tra, investor will borrow in the low interest rate currency, the JPY, 0.15% aninvest in the high interest rate currency, the EUR, 1.40%.Calculate the current anone-year-later JPY/EUR cross-rates.Borrow JPY anbuy USfor JPY117.66 (offer); then use USto buy EUR for US.0873 (offer). This generates a cross-rate of 117.66 × 1.0873 = 127.932 = 127.93JPY/EUR.The one-year-later cross-rate for the JPY/EUR is calculate118.32 × 1.0984 = 129.963 = 129.96.The net investment return for the unheeEUR posit, measurein JPY, is calculateas[1127.93×(1+0.0140)×129.96]−[1.000×(1+0.0015)]=1.0301−1.0015=0.0286=2.86% 1 127.93 × 1+0.0140 ×129.96 − 1.000× 1+0.0015 =1.0301−1.0015 =0.0286=2.86% C is incorrect. It neglects to the interest on the JPY loan.[1127.93×(1+0.0140)×129.96]−(1.0000)=1.0301−1.0000=0.0301=3.01% 1 127.93 × 1+0.0140 ×129.96 − 1.0000 =1.0301−1.0000 =0.0301=3.01% B is incorrect. It incorrectly uses the bicross-rate in the first step.117.62 × 1.0851 = 127.629 = 127.63 [1127.63×(1+0.0140)×129.96]−[1.0000×(1+0.0015)]=1.0325−1.0015=0.0310=3.10% 1 127.63 × 1+0.0140 ×129.96 − 1.0000× 1+0.0015 =1.0325−1.0015 =0.0310=3.10% A是正确的。在套利交易中，投资者将以0.15%的利率借入低利率货币日元，并以1.40%的利率投资于高利率货币欧元。计算当前和一年后的日元/欧元交叉汇率。借入日元并买入美元至JPY117.66(卖出价);然后用美元以1.0873美元(卖出价)买入欧元。这就产生了117.66 × 1.0873 = 127.932 = 127.93日元/欧元的交叉汇率。一年后日元/欧元的交叉汇率计算为118.32 × 1.0984 = 129.963 = 129.96。 未对冲欧元存款的净投资回报，以日元计算，计算公式为[1127.93×(1 + 0.0140)×129.96)−[1.000×(1 + 0.0015)= 1.0301−1.0015 = 0.0286 = 2.86%C是不正确的。它忽略了扣除日元贷款的利息。[1127.93×(1 + 0.0140)×129.96)−(1.0000)= 1.0301−1.0000 = 0.0301 = 3.01%B不正确。它在第一步中错误地使用了买价交叉汇率。117.62 × 1.0851 = 127.629 = 127.63[1127.63×(1 + 0.0140)×129.96)−[1.0000×(1 + 0.0015)= 1.0325−1.0015 = 0.0310 = 3.10%A是不正确的。候选人将美元/欧元的报价颠倒，但没有交换买入价和卖出价，因此使用卖出价交叉利率错误地计算了银行间市场的买入价交叉利率。买价:0.9216 × 0.7050 = 0.64973 = 0.6497因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.6497。C是不正确的。候选人错误地将两个投标利率相乘以计算银行间市场交叉利率。买价:0.7050 × 1.0851 = 0.76500 = 0.7650因此，银行间市场隐含的欧元/澳元买入价交叉利率为0.7650。 我的做法是1/127.932 * （1+1.4%）*129.9626 -1 =0.030095再scount日本的利息0.15% 最后算出～3%是不是哪里有问题？

2023-12-22 14:26 1 · 回答