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周梅 · 2024年10月21日

derivatives

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201512020800000101

问题如下：

1. Based upon Exhibit 1, the forward premium (discount) for a 360-day INR/GBP forward contract is closest to:

选项：

A.

–1.546.

B.

1.546

C.

1.576

解释：

C is correct.

The equation to calculate the forward premium (discount) is:

Ff/d−Sfld=Sf/d([Actual360]1+id[Actual360])(if−id)F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)

Sf/dS_{f/d} is the spot rate with GBP the base currency or d, and INR the foreign currency or <em>f</em>.Sf/df.S_{f/d} per Exhibit 1 is 79.5093, i f is equal to 7.52% and i d is equal to 5.43%.

With GBP as the base currency (i.e. the “domestic” currency) in the INR/GBP quote, substituting in the relevant base currency values from Exhibit 1 yields the following:

Ff/d−Sf/d=79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)

Ff/d−Sf/d=79.5093(11.0543)(0.0752−0.0543)F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)

Ff/d−Sf/d=1.576F_{f/d}-S_{f/d}=1.576

考点 ： 利率平价公式的计算.

解析 ： Covered IRP:

Ff/d−Sfld=Sf/d([Actual360]1+id[Actual360])(if−id)F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)

其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得：

Ff/d−Sf/d=79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)

Ff/d−Sf/d=79.5093(11.0543)(0.0752−0.0543)F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)

Ff/d−Sf/d=1.576F_{f/d}-S_{f/d}=1.576

Based on the information in Exhibit 1, the interest rate that the Foundation would receive in the proposed currency swap is closest to:

  1. A.
  2. 1.32%.
  3. B.
  4. 1.54%.
  5. C.
  6. 2.29%.

老师，这道题我分析是Foundation 收到KRW，不是美元，麻烦讲解下

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1 个答案

李坏_品职助教 · 2024年10月22日

嗨，努力学习的PZer你好：



同学 我发现你提问的时候，上面发出来的题目内容：


和最下面的题目内容不匹配，建议还是把你有疑问的那一道题写出来，其他题目不用放进来。


回到你说的Foundation这个题目，应该是2022 Mock B session 2 Q37，根据这个题目背景：这份currency swap的提供方，是支付美元、收取韩元，而本题的主人公Kang，是作为swap的接受方，也就是接受对方的现金流，那也就是接受美元、支付韩元。




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NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点 利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 Using the cru oil futures prices in Exhibit 1, who woulmost likelyaccount for the lowest roll return until March?C airline heing fuel costs The QA Energy Commoties Fun. A cru oil procer heing proctionA cru oil procer woulshort futures to hee the risk of future falling prices. For example, falling prices woulcrease future sales anincome. Cru oil futures are in backwartion, causing successive futures contracts to sollower prices ancausing roll yielto negative.Introction to Commoties anCommoty r没懂，什么意思,老师讲解下

2024-10-22 03:30 1 · 回答

NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点 利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 Baseon the ta in Exhibit 1, Ahn woulmost likely conclu that:A.the basis for heating oil futures is 0.0030.B.lumber futures offer the greatest calenr spreaC.the cru oil futures markets are in a state of backwartion.A positive calenr spreis associatewith futures markets thare in backwartion, wherea negative calenr spreis associatewith futures markets thare in contango. Lumber futures have successively higher prices anare in contango.Ahn woulconclu ththe cru oil futures markets are in a state of backwartion, whiexists when the spot priexcee the futures price, it es in the January cru oil futures contract.B 为什么不对，答案C为什么对， 3月和1月的远期价格一样，也能是backwartion,？

2024-10-22 03:24 1 · 回答

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2024-10-21 21:45 1 · 回答

NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点 利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 Whiof the following woulMesser most likely conclu from the implievolatility ta in Exhibit 2 if he exclus the effects of moneyness antime to expiration? B Using out-of-the-money options to establish either long or short positions is more expensive thusing at-the-money options.B.Using out-of-the-money options to hee is more expensive thestablishing a long position with out-of-the-money options.C.Using out-of-the-money options to establish a long position is more expensive thestablishing a short position using out-of-the-money options.Implievolatility is higher for lower strike prices thfor higher strike prices; therefore, out-of-the-money put options will generally more expensive thout-of-the-money call options. Implievolatilities of options with lower strike prices are higher ththose with higher strike prices. 老师讲解下，没有懂

2024-10-21 21:28 1 · 回答

NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点 利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 For a non-vinpaying stock, American-style call option’s value ccalculatebaseon the present value of expectefuture cash flows because American-style call options anEuropean-style call options cscribeaninterpretesimilarly anbecause the no-arbitrage approaapplies to each.” Laurens’s statement about the no-arbitrage approais correin its referento both European-style options anAmerican-style options. Unr the binomimols, option’s value is equto the present value of expectefuture payoffs unr a risk neutrprobability with the scount factor being the risk free interest rate. The multiperiobinomimol approaches equivalento the BSM mol the time steps shorten (i.e., a large number of short anequtime steps)老师这个知识点再讲解下

2024-10-21 20:27 1 · 回答