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(1+id[360Actual][360Actual])(if−id)
Sf/d is the spot rate with GBP the base currency or d, and INR the foreign currency or <em>f</em>.Sf/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(1+0.0543[360360][360360])(0.0752−0.0543)
Ff/d−Sf/d=79.5093(1.05431)(0.0752−0.0543)
Ff/d−Sf/d=1.576
考点 : 利率平价公式的计算.
解析 : Covered IRP:
Ff/d−Sfld=Sf/d(1+id[360Actual][360Actual])(if−id)
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(1+0.0543[360360][360360])(0.0752−0.0543)
Ff/d−Sf/d=79.5093(1.05431)(0.0752−0.0543)
Ff/d−Sf/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:
- A.
- 1.32%.
- B.
- 1.54%.
- C.
- 2.29%.
老师,这道题我分析是Foundation 收到KRW,不是美元,麻烦讲解下