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比如世界 · 2020年05月10日

问一道题：NO.PZ2020020601000053

  1. FRM I
  2. Financial Markets And Products

问题如下：

The spot rate for XXXYYY is 1.4251 and the one-year forward rate is 200 basis points. How would the spot rate and the forward rate have been expressed if the currency had been YYYXXX?

选项：

解释：

The spot rate and forward rate are 1.4251 and 1.4251 + 0.0200 = 1.4451. If the currency had been quoted the other way around, the spot and forward would be 1/1.4251 = 0.7017 and 1/1.4451 = 0.6920. The forward quote would be -97 because the forward rate is 97/10,000 less than the spot rate.

老师您好，97是怎么得来的？换个标价方式得到的spot减forward不是0.69吗？

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1 个答案

袁园_品职助教 · 2020年05月11日

同学你好！

(0.7107 - 0.6920)*10,000 = 97

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