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小蜜蜂jj1 · 2022年01月08日

第二步是什么意思

  1. CFA I
  2. Economics Analysis

NO.PZ2018062003000213

问题如下：

A research report produced by a dealer includes the followings datas. The USD/GBP spot exchange rate is 0.8465, the 90day Libor rates for the USD and the GBP are 1.065% and 1.620%. Which of the following options is the most accurate of the 90-day forward points(the interest rates are on a basis of a 360-day year) in USD/GBP ?

选项：

A.

–8.9.

B.

–12.

C.

12.

解释：

B is correct.

FUSD/GBP=S(USD/GBP)(1+iUSD)/(1+iGBP)=0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

The forward points are 10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.00012) = –12.

考点：Forward Premium and Discount

解析：

第一步，先算得远期汇率水平0.8453

F = 0.8465[(1+0.01065(90/360)]/[1+0.01620(90/360)]=0.8465*0.9986=0.8453

第二步，计算forward points ：10000 × (F – S) = 10000 × (0.8453 – 0.8465) = 10000 × (–0.00012) = –12.

第一步算出来的不已经是F了吗

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2 个答案

笛子_品职助教 · 2022年01月10日

嗨，努力学习的PZer你好：


汇率有4位小数，是10000，汇率是2位小数，是100.

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

笛子_品职助教 · 2022年01月09日

嗨，努力学习的PZer你好：


第二步是什么意思,第一步算出来的不已经是F了吗


如果本题问的是F是多少，那么第二步就不需要了，但是本题问的是点数，因此计算出F后，还要计算出points


第一步计算F，

第二部计算点数（points）


forward points = 10000 × (F – S)

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努力的时光都是限量版，加油！

小蜜蜂jj1 · 2022年01月09日

谢谢老师，还想问下为什么有时候乘以100有时候10000？我看都是给的rate

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