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Asker · 2020年10月19日

问一道题：NO.PZ2016010802000213

  1. CFA I
  2. Economics Analysis

问题如下：

The JPY/AUD spot exchange rate is 82.42, the JPY interest rate is 0.15%, and the AUD interest rate is 4.95%. If the interest rates are quoted on the basis of a 360-day year, the 90-day forward points in JPY/AUD would be closest to:

选项：

A.

–377.0.

B.

–97.7.

C.

98.9.

解释：

B is correct.

The forward exchange rate is given by

FJPY/AUD=S(JPY/AUD)(1+ijpy)/(1+iAUD)=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443

The forward points are 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. Note that because the spot exchange rate is quoted with two decimal places, the forward points are scaled by 100.

考点：Forward Premium and Discount

解析：第一步，先算得远期汇率水平，

FJPY/AUD=S(JPY/AUD)(1+ijpy)/(1+iAUD)=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443

第二步，计算forward points 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. .

第一部分我还是会算的：FJPY/AUD=S(JPY/AUD)(1+ijpy)/(1+iAUD)=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443


到第二部分，The forward points are 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. Note that because the spot exchange rate is quoted with two decimal places, the forward points are scaled by 100.


这个 100*（F-S）是啥意思啊，Notes 上也没看到这个

截图是 notes 上相关的公式，就那么多

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源_品职助教 · 2020年10月20日

F就是FORWARD，S是SPORT。F-S就是 forward point 的定义。

PS,我们的讲义是根据原版书教材编写的，不是依托NOTES。NOTES没有那时NOTES没按照教材写。

源_品职助教 · 2020年10月19日

嗨，爱思考的PZer你好：


乘以100其实是实务中的一类做法。

就是汇率计算升贴水的时候小数点后面有好多位，人们看起来不方便

所以人们就会乘以100,或者10000，这样实际操作时看上去会舒服些。


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


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