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jojo · 2025年04月28日

另一个解析应该错了

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000168

问题如下：

Consider the following 3-year currency swap, which involves exchanging annual interest of 2.75% on 10 million US dollars for 3.75% on 15 million Canadian dollars. The current exchange rate is 1 US dollar for 1.52 AUD.. The term structure is flat in both countries. Calculate the value of the swap in USD if interest rates in Canada are 5% and in the United States are 4%. Assume continuous compounding. Round to the nearest dollar.

选项：

A.

$152,000

B.

$145,693

C.

$131,967

D.

$127,818

解释：


https://class.pzacademy.com/qa/179952 这里助教没有解释清楚，同学问：老师，这道题讲汇率时，说的是“一个美元等于1.52个加币”是不是口误？应该是1个加币等于1.52个美元吧”


这个陈述是对的吧？CAD/USD里的USD就是base currency，等价一个苹果卖多少钱，一个美元就是等于1.52个加币。 


另外，题干写错了：The current exchange rate is 1 US dollar for 1.52 AUD.


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1 个答案

李坏_品职助教 · 2025年04月28日

嗨，从没放弃的小努力你好：


The current exchange rate is 1 US dollar for 1.52 AUD.这个写错了，应该是1USD = 1.52 CAD才对。


按照讲义的写法：

放在前面的是base， 比如EUR/USD = 1.2345， 意思是1EUR = 1.2345 USD。 但是我的建议是，了解一些国际常用外汇的币种大小，有助于判断，毕竟考试中也有可能出现其他的报价形式。 按照币值排序：GBP（英镑）大于EUR（欧元）大于CHF(瑞士法郎) 大于美元 大于 加拿大元/澳元 大于 人民币 大于日元

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