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小小湍 · 2019年08月17日

问一道题：NO.PZ2018062003000213 [ CFA I ]

  1. CFA I
  2. Economics Analysis

问题如下图：

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B.

C.

解释：

题目给90天的利率，年化为什么是除以4，不是乘以4

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Wendy_品职助教 · 2019年08月20日

题目中给出的利率都是年化利率，我们为了求90天的利率，要除以4，这是去年化的过程

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NO.PZ2018062003000213 问题如下 A researreport procea aler inclus the followings tas. The USGspot exchange rate is 0.8465, the 90y Libor rates for the USanthe Gare 1.065% an1.620%. Whiof the following options is the most accurate of the 90-y forwarpoints(the interest rates are on a basis of a 360-y year) in USG? A.–8.9. B.–12. C.12. B is correct.FUSGBP=S(USGBP)(1+iUS/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453The forwarpoints are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12.考点ForwarPremium anscount解析第一步，先算得远期汇率水平0.8453F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453第二步，计算forwarpoints 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12. 可否理解为持有期为90天的拆借利率，即年利率已经*90/360，不必再算？

2023-05-08 15:29 1 · 回答

NO.PZ2018062003000213 问题如下 A researreport procea aler inclus the followings tas. The USGspot exchange rate is 0.8465, the 90y Libor rates for the USanthe Gare 1.065% an1.620%. Whiof the following options is the most accurate of the 90-y forwarpoints(the interest rates are on a basis of a 360-y year) in USG? A.–8.9. B.–12. C.12. B is correct.FUSGBP=S(USGBP)(1+iUS/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453The forwarpoints are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12.考点ForwarPremium anscount解析第一步，先算得远期汇率水平0.8453F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453第二步，计算forwarpoints 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12. 如题

2022-12-06 23:37 1 · 回答

NO.PZ2018062003000213问题如下A researreport procea aler inclus the followings tas. The USGspot exchange rate is 0.8465, the 90y Libor rates for the USanthe Gare 1.065% an1.620%. Whiof the following options is the most accurate of the 90-y forwarpoints(the interest rates are on a basis of a 360-y year) in USG?A.–8.9.B.–12.C.12. B is correct.FUSGBP=S(USGBP)(1+iUS/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453The forwarpoints are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12.考点ForwarPremium anscount解析第一步，先算得远期汇率水平0.8453F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453第二步，计算forwarpoints 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12. 请问这个forwarpoints如何理解？

2022-12-03 23:25 1 · 回答

NO.PZ2018062003000213 问题如下 A researreport procea aler inclus the followings tas. The USGspot exchange rate is 0.8465, the 90y Libor rates for the USanthe Gare 1.065% an1.620%. Whiof the following options is the most accurate of the 90-y forwarpoints(the interest rates are on a basis of a 360-y year) in USG? A.–8.9. B.–12. C.12. B is correct.FUSGBP=S(USGBP)(1+iUS/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453The forwarpoints are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12.考点ForwarPremium anscount解析第一步，先算得远期汇率水平0.8453F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453第二步，计算forwarpoints 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.0012) = –12. 先算得远期汇率水平F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453解析里面是这样算的，请问为啥不是（1+0.01065）*(90/360)呢

2022-10-12 20:30 1 · 回答

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2022-06-05 23:21 1 · 回答