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June · 2021年11月01日

this is a test. pls ignore.

* 问题详情，请查看题干

NO.PZ201512020800000101

问题如下：

1. Based upon Exhibit 1, the forward premium (discount) for a 360-day INR/GBP forward contract is closest to:

选项：

A.

–1.546.

B.

1.546

C.

1.576

解释：

C is correct.

The equation to calculate the forward premium (discount) is:

$F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)$

$S_{f/d}$ is the spot rate with GBP the base currency or d, and INR the foreign currency or $< e m > f < / e m > . S_{f / d}$ per Exhibit 1 is 79.5093, i f is equal to 7.52% and i d is equal to 5.43%.

With GBP as the base currency (i.e. the “domestic” currency) in the INR/GBP quote, substituting in the relevant base currency values from Exhibit 1 yields the following:

$F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=1.576$

考点：利率平价公式的计算.

解析： Covered IRP:

$F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)$

其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得：

$F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)$

$F_{f/d}-S_{f/d}=1.576$

this is a test. pls ignore.

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2 个答案

笛子_品职助教 · 2021年11月01日

嗨，爱思考的PZer你好：

这是一个测试。

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加油吧，让我们一起遇见更好的自己！

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笛子_品职助教 · 2021年11月01日

嗨，从没放弃的小努力你好：

这是一个测试。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual][360Actual])(if−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360][360360])(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual][360Actual])(if−i)其中，GBP代表的是本币，而INR代表的是外币，于是直接代入数字到上述公式中可得Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360][360360])(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 这个答案的公式怎么看不懂，和课件的不一样啊，下图左边是课件，右边是答案。按照课件算出来的结果和答案算出来的不一样

2023-11-10 14:12 1 · 回答

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2022-06-06 09:49 1 · 回答

NO.PZ201512020800000101 具体原理是什么

2021-12-14 13:56 1 · 回答

NO.PZ201512020800000101 我算出来时1.5839，都不对啊。F/S = （1+Rinr）/（1+Rgbp），算出来F等于81.0932，F-S就等于1.5839啊。麻烦老师解答一下，谢谢

2021-09-04 21:29 1 · 回答