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Alice_090 · 2020年05月30日

问一道题：NO.PZ2018111501000001

  1. CFA III
  2. Derivative

问题如下：

Aron wants to analyze the movement of EUR against the foreign currency USD for portfolio X. It is known that the domestic-currency return is 15% and the foreign-currency asset return is 12%. Which of the following is correct?

选项：

A.

the percentage movement in the spot exchange rate is -2.61%, EUR relative to USD is appreciated.

B.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is appreciated.

C.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is depreciated.

解释：

C is correct.

考点：Currency Risk & Portfolio Return and Risk

解析：

RDC=(1+RFC)(1+RFX)−1R_{DC}=(1+R_{FC})(1+R_{FX})-1

已知domestic-currency return is 15%，即RDC=15%R_{DC}=15\%，foreign-currency asset return is 12%，即RFC=12%R_{FC}=12\% ，代入公式，则RFX=2.68%R_{FX}=2.68\% 。根据EUR/USD（DC/FC）的外汇报价方式，由于RFX>0R_{FX}>0，因此USD相对于EUR是升值的，也就是说， EUR相对于USD是贬值的。

不应该是fc/dc么，类似于x斤／苹果，这题里面本币是eur,外币是usd,不应该是usd/eur么？

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1 个答案

xiaowan_品职助教 · 2020年05月30日

嗨，爱思考的PZer你好：


同学你好，

本币是EUR，外币是USD，这是没错的，但是标价方式是DC/FC，

看一下Rfx的定义：the percentage change in the value of the foreign currency against the domestic currency

研究的是FC的变化率，用DC标价，所以标价方式是DC/FC


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


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