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ladycoco想放假 · 2018年01月01日

问一道题：NO.PZ2016010802000213 [ CFA I ]

  1. CFA I
  2. Macroeconomic
问题如下图：
选项：
A.
B.
C.
解释：
为啥求贴水幅度最后要乘100呢？
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1 个答案

源_品职助教 · 2018年01月03日

因为题目问的是POINTS，是点位。

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NO.PZ2016010802000213 问题如下 The JPY/AUspot exchange rate is 82.42, the JPY interest rate is 0.15%, anthe AUinterest rate is 4.95%. If the interest rates are quoteon the basis of a 360-y year, the 90-y forwarpoints in JPY/AUwoulclosest to: A.–377.0. B.–97.7. C.98.9. is correct.The forwarexchange rate is given byFJPY/AUS(JPY/AU(1+ijpy)/(1+iAU=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443The forwarpoints are 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. Note thbecause the spot exchange rate is quotewith two cimplaces, the forwarpoints are scale100.考点ForwarPremium anscount解析第一步，先算得远期汇率水平，FJPY/AUS(JPY/AU(1+ijpy)/(1+iAU=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443第二步，计算forwarpoints 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. . 我就只算到了第一步，从哪里看出这道题求的是ForwarPremium啊

2023-07-06 15:59 1 · 回答

NO.PZ2016010802000213 问题如下 The JPY/AUspot exchange rate is 82.42, the JPY interest rate is 0.15%, anthe AUinterest rate is 4.95%. If the interest rates are quoteon the basis of a 360-y year, the 90-y forwarpoints in JPY/AUwoulclosest to: A.–377.0. B.–97.7. C.98.9. is correct.The forwarexchange rate is given byFJPY/AUS(JPY/AU(1+ijpy)/(1+iAU=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443The forwarpoints are 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. Note thbecause the spot exchange rate is quotewith two cimplaces, the forwarpoints are scale100.考点ForwarPremium anscount解析第一步，先算得远期汇率水平，FJPY/AUS(JPY/AU(1+ijpy)/(1+iAU=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443第二步，计算forwarpoints 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. . 82.42JPY=AU2.42（1+0.15/4）JPY=(1+0.495/4)AU2.42*1.0375JPY=1.1238AU6.0907JPY=AU00*（76.0907-82.42）=-632.92

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NO.PZ2016010802000213 问题如下 The JPY/AUspot exchange rate is 82.42, the JPY interest rate is 0.15%, anthe AUinterest rate is 4.95%. If the interest rates are quoteon the basis of a 360-y year, the 90-y forwarpoints in JPY/AUwoulclosest to: A.–377.0. B.–97.7. C.98.9. is correct.The forwarexchange rate is given byFJPY/AUS(JPY/AU(1+ijpy)/(1+iAU=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443The forwarpoints are 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. Note thbecause the spot exchange rate is quotewith two cimplaces, the forwarpoints are scale100.考点ForwarPremium anscount解析第一步，先算得远期汇率水平，FJPY/AUS(JPY/AU(1+ijpy)/(1+iAU=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443第二步，计算forwarpoints 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. . 抛开这道题目不讲，我们在现实生活中in point应该认为它是万分之一还是百分之一

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NO.PZ2016010802000213 问题如下 The JPY/AUspot exchange rate is 82.42, the JPY interest rate is 0.15%, anthe AUinterest rate is 4.95%. If the interest rates are quoteon the basis of a 360-y year, the 90-y forwarpoints in JPY/AUwoulclosest to: A.–377.0. B.–97.7. C.98.9. is correct.The forwarexchange rate is given byFJPY/AUS(JPY/AU(1+ijpy)/(1+iAU=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443The forwarpoints are 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. Note thbecause the spot exchange rate is quotewith two cimplaces, the forwarpoints are scale100.考点ForwarPremium anscount解析第一步，先算得远期汇率水平，FJPY/AUS(JPY/AU(1+ijpy)/(1+iAU=82.42[(1+0.0015(90/360)]/[1+0.0495(90/360)]=82.42*0.98815=81.443第二步，计算forwarpoints 100 × (F – S) = 100 × (81.443 – 82.42) = 100 × (–0.977) = –97.7. . in points也就是万分之一，在计算时为什么是用最终(F-S)的差值乘以100 ，而不是乘以10000呢？

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