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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：

–1.546.

1.546

1.576

解释：

C is correct.

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

$F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)$

$S_{f/d}$ is the spot rate with GBP the base currency or d, and INR the foreign currency or $< e m > f < / e m > . S_{f / d}$ 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:

$F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=1.576$

考点：利率平价公式的计算.

解析： Covered IRP:

$F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)$

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：

$F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=1.576$

Based on the data in Exhibit 1, Ahn would most likely conclude that:

A.the basis for heating oil futures is 0.0030.
B.lumber futures offer the greatest calendar spread.
C.the crude oil futures markets are in a state of backwardation.

A positive calendar spread is associated with futures markets that are in backwardation, whereas a negative calendar spread is associated with futures markets that are in contango. Lumber futures have successively higher prices and are in contango.

Ahn would conclude that the crude oil futures markets are in a state of backwardation, which exists when the spot price exceeds the futures price, as it does in the January crude 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backwardation,？

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