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Tututu · 2024年10月21日

这道题的相关知识点是什么

  1. CFA I
  2. Economics Analysis

NO.PZ2023071902000003

问题如下：

Question

Given the data below:

Exchange rate for New Zealand dollar (NZD) to British pound (GBP): 2.1050

Libor interest rate for the British pound: 1.6520%

Libor interest rate for the New Zealand dollar: 3.3050%

All Libor rates are provided on a 360-day year basis

What is the closest 180-day forward points (multiplied by four decimal places) for NZD/GBP?

选项：

A.39 B.172 C.339

解释：

  1. The principle of covered interest arbitrage ensures that the same initial amounts invested at the domestic interest rates of their respective countries will yield identical end values:

    GBP calculation: ₤1 × (1 + 0.016520 × 180/360) = ₤1.00826

    NZD calculation: NZ$2.1050 × (1 + 0.033050 × 180/360) = NZ$2.1398

    The forward rate is found by equating these two end values:

    NZD/GBP forward rate = NZ$2.1398/₤1.00826 = 2.1222

    Forward points = (Forward Rate – Spot Rate) × 10,000

    = (2.1222– 2.1050) × 10,000

    = 172

Exchange Rate Calculations

• explain the arbitrage relationship between spot and forward exchange rates and interest rates, calculate a forward rate using points or in percentage terms, and interpret a forward discount or premium

利差套利原则确保以各自国家的国内利率投资的相同初始金额将产生相同的最终价值:

英镑计算:£1 × (1 + 0.016520 × 180/360) =£1.00826

新西兰元计算:新西兰元2.1050 × (1 + 0.033050 × 180/360) =新西兰元2.1398

通过将这两个最终等价，可以求得远期汇率:

纽元兑英镑远期汇率= 2.1398纽元÷1.00826英镑= 2.1222

远期点=(远期汇率-即期汇率)× 10000

= (2.1222 - 2.1050) × 10,000

= 172

这道题的相关知识点是什么

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1 个答案

笛子_品职助教 · 2024年10月22日

嗨，努力学习的PZer你好：


这道题的相关知识点是什么

Hello，亲爱的同学~

这道题的知识点是：利率平价。这可以用于外汇forward的定价。

即同一笔资金，在本国投资的收益 = 同一笔资金先兑换成外币，赚外币利息，到期的时候再用forward兑换成本币，这三个步骤的收益。

如果这两个收益相等，则套利利润为零，被称为covered利率平价。

知识点如下：


结合本题：

1英镑投资英国国内，期末可以拿到£1.00826：英镑计算:£1 × (1 + 0.016520 × 180/360) =£1.00826

1英镑换成新西兰元，再赚新西兰汇率，可以得到新西兰元2.1398：2.1050 × (1 + 0.033050 × 180/360) =新西兰元2.1398


那么如果£1.00826 = 新西兰元2.1398，这个汇率就是forward的价格，在这个价格上，可以实现两个金额相等，无套利。

forward 价格 = 纽元兑英镑远期汇率= 2.1398纽元÷1.00826英镑= 2.1222

forward points = （forward 价格 - spot 价格）*10000 = (2.1222 - 2.1050) × 10,000= 172


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努力的时光都是限量版，加油！

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NO.PZ2023071902000003 问题如下 QuestionGiven the ta below:Exchange rate for New Zealanll(NZ to British poun(GBP): 2.1050 Libor interest rate for the British poun 1.6520%Libor interest rate for the New Zealanllar: 3.3050%All Libor rates are provion a 360-y yebasisWhis the closest 180-y forwarpoints (multipliefour cimplaces) for NZGBP? A.39 B.172 C.339 The principle of covereinterest arbitrage ensures ththe same initiamounts investethe mestic interest rates of their respective countries will yielinticenvalues:Gcalculation: ₤1 × (1 + 0.016520 × 180/360) = ₤1.00826NZcalculation: NZ$2.1050 × (1 + 0.033050 × 180/360) = NZ$2.1398The forwarrate is founequating these two envalues:NZGforwarrate = NZ$2.1398/₤1.00826 = 2.1222Forwarpoints = (ForwarRate – Spot Rate) × 10,000= (2.1222– 2.1050) × 10,000= 172Exchange Rate Calculations• explain the arbitrage relationship between spot anforwarexchange rates aninterest rates, calculate a forwarrate using points or in percentage terms, aninterpret a forwarscount or premium 利差套利原则确保以各自国家的国内利率投资的相同初始金额将产生相同的最终价值:英镑计算:£1 × (1 + 0.016520 × 180/360) =£1.00826新西兰元计算:新西兰元2.1050 × (1 + 0.033050 × 180/360) =新西兰元2.1398通过将这两个最终等价，可以求得远期汇率:纽元兑英镑远期汇率= 2.1398纽元÷1.00826英镑= 2.1222远期点=(远期汇率-即期汇率)× 10000= (2.1222 - 2.1050) × 10,000= 172 Exchange rate for New Zealanll(NZ to British poun(GBP): 2.1050的意思不应该是一个nz以转换成2.105个gbp的意思吗，我理解是from nzto gbp的关系呀（gbp/nz，为什么还是nzgbp，相当于exchange rate for usto rmb=7, 那么应该是7 rmb/us。

2024-05-11 13:12 1 · 回答