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
We can also consider options on swaps, which the Black model views as having a bond component and a swap component. The swaption, used to hedge against rising interest rates, can be evaluated as the swap component minus the bond component.”
Franco is incorrect because he describes a long call option, which according to the Black model can be viewed as the futures component minus the bond component. Long put options hedge against rising interest rates. The Black model evaluates put options as the bond component minus the futures component.
老师讲解下,没有懂