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Ivy · 2021年11月11日

请问1.2295从哪里来呢?

* 问题详情,请 查看题干

NO.PZ201710020100000106

问题如下:

6. Based on the exchange rate midpoint in Exhibit 1 and the rates in Exhibit 3, the 90-day forward premium (discount) for the USD/GBP would be closest to:

选项:

A.

–0.0040.

B.

–0.0010.

C.

+0.0010.

解释:

B is correct.

Using covered interest rate parity, the forward rate is

Ff/d=Sf/d(1+if[Actual360]1+if[Actual360])F_{f/d}=S_{f/d}{(\frac{1+i_f{\lbrack\frac{Actual}{360}\rbrack}}{1+i_f{\lbrack\frac{Actual}{360}\rbrack}})}

=1.2303(1+0.0033[Actual360]1+0.0058[Actual360])=1.2303{(\frac{1+0.0033{\lbrack\frac{Actual}{360}\rbrack}}{1+0.0058{\lbrack\frac{Actual}{360}\rbrack}})}

Because the domestic rate (Libor) is higher than the non-domestic rate, the forward rate will be less than the spot, giving a forward discount of

Ff/d - Sf/d = 1.2295 - 1.2303 = -0.0008

考点:Interest rate parity

解析,根据利率平价理论的公式,我们首先可以求得 USD/GBP 的远期汇率水平,即:

Ff/d=Sf/d(1+if[Actual360]1+if[Actual360])F_{f/d}=S_{f/d}{(\frac{1+i_f{\lbrack\frac{Actual}{360}\rbrack}}{1+i_f{\lbrack\frac{Actual}{360}\rbrack}})}

=1.2303(1+0.0033[Actual360]1+0.0058[Actual360])=1.2303{(\frac{1+0.0033{\lbrack\frac{Actual}{360}\rbrack}}{1+0.0058{\lbrack\frac{Actual}{360}\rbrack}})}

然后我们用远期汇率减去即期汇率直接得到升贴水的情况。

Ff/d - Sf/d = 1.2295 - 1.2303 = -0.0008

请问1.2295从哪里来呢?

1 个答案

笛子_品职助教 · 2021年11月12日

嗨,从没放弃的小努力你好:



看这个解析,原题解析错了。

----------------------------------------------
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.PZ201710020100000106 –0.0010. +0.0010. B is correct. Using covereinterest rate parity, the forwarrate is Ff/Sf/1+if[Actual360]1+if[Actual360])F_{f/=S_{f/{(\frac{1+i_f{\lbrack\frac{Actual}{360}\rbrack}}{1+i_f{\lbrack\frac{Actual}{360}\rbrack}})}Ff/=Sf/(1+if​[360Actual​]1+if​[360Actual​]​) =1.5764(1+0.0033[Actual360]1+0.0058[Actual360])=1.5764{(\frac{1+0.0033{\lbrack\frac{Actual}{360}\rbrack}}{1+0.0058{\lbrack\frac{Actual}{360}\rbrack}})}=1.5764(1+0.0058[360Actual​]1+0.0033[360Actual​]​) Because the mestic rate (Libor) is higher ththe non-mestic rate, the forwarrate will less ththe spot, giving a forwarscount of Ff/- Sf/= 1.5754 - 1.5764 = -0.0010 考点Interest rate parity 解析,根据利率平价理论的公式,我们首先可以求得 USG的远期汇率水平,即 Ff/Sf/1+if[Actual360]1+if[Actual360])F_{f/=S_{f/{(\frac{1+i_f{\lbrack\frac{Actual}{360}\rbrack}}{1+i_f{\lbrack\frac{Actual}{360}\rbrack}})}Ff/=Sf/(1+if​[360Actual​]1+if​[360Actual​]​) =1.5764(1+0.0033[Actual360]1+0.0058[Actual360])=1.5764{(\frac{1+0.0033{\lbrack\frac{Actual}{360}\rbrack}}{1+0.0058{\lbrack\frac{Actual}{360}\rbrack}})}=1.5764(1+0.0058[360Actual​]1+0.0033[360Actual​]​) 然后我们用远期汇率减去即期汇率直接得到升贴水的情况。 Ff/- Sf/= 1.5754 - 1.5764 = -0.0010 如题,也许是uncovereinterest rate?

2021-04-26 15:18 1 · 回答

算的答案不一样,麻烦问一下我的计算过程是否正确1.5764*[(0.33%-0.58%)*1/4]/(1+0.58%*1/4)

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