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海胆君 · 2021年03月04日

计算利率时候的天数应该是360还是365？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000129

问题如下：

An Chinese trade company mainly exports goods to US and gives 90 days credit term for US companies. The payment is settled in USD. The Chinese company worries that the USD will depreciate and would like to hedge the downside risk by entering a short forward. Domestic risk-free rate is 4% and foreign risk-free rate is 2%. The current spot rate is 6.7523￥per $. What is the price of the forward contract?  

选项：

A.

6.3827.

B.

6.7847.

C.

6.5827.

D.

6.6827.

解释：

B is correct.

考点：Foreign Exchange Risk

解析：中国公司会在90天后收到美元，但是担心未来美元会下跌，所以签订了一个short USD forward作为对冲。远期合约的价格应该等于:

FT=6.7523×1.0490/3651.0290/3656.7847F_T=6.7523\times\frac{1.04^{90/365}}{1.02^{90/365}}6.7847

我记得CFA里说，对于1年期以内的，用单利呀？而且是360天为主。

是FRM这里，不管是否小于1年，都用复利且365天为基准吗

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品职答疑小助手雍 · 2021年03月04日

嗨，从没放弃的小努力你好：


libor计息用单利，但是远期合约计算都是复利365天的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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