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蝈蝈@嗅 · 2020年02月21日

问一道题：NO.PZ2018062003000213

  1. CFA I
  2. Economics Analysis

问题如下：

A research report produced by a dealer includes the followings datas. The USD/GBP spot exchange rate is 0.8465, the 90day Libor rates for the USD and the GBP are 1.065% and 1.620%. Which of the following options is the most accurate of the 90-day forward points(the interest rates are on a basis of a 360-day year) in USD/GBP ?

选项：

A.

–8.9.

B.

–12.

C.

12.

解释：

B is correct.

FUSD/GBP=S(USD/GBP)(1+iUSD)/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

The forward points are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.00012) = –12.

考点：Forward Premium and Discount

解析：第一步，先算得远期汇率水平0.8453

F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

第二步，计算forward points ：10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.00012) = –12.

请问题目中90day libor rate不是指90天的利息吗？为什么还要再除以4呢？谢谢。

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源_品职助教 · 2020年02月21日

嗨，爱思考的PZer你好：


所有利率报价都是年化形式，无论90天，180天，270天，都是年化的

所以要去年化处理。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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