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牛cc · 2019年06月28日

问一道题:NO.PZ2018062003000206 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

老师讲的公式是(Forward-spot)/spot=f,即Forward/spot-1=f,那不是应该1.5800/spot=1+0.05吗?讲解里写的是1-0.05,为什么呢?

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已采纳答案

答疑助手丽丽 · 2019年06月28日

因为题中是贬值了5%,所以我们写的时候应为(1.58/initial rate)-1=-5%

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