張同學(xué)
2022-05-29 14:18官網(wǎng)題衍生23題，匯率104.15哪來了？ The data she uses for her assessment show that the US bonds pay 1.75% and Japanese bonds pay –0.40% annualized. She plans to fully hedge the currency risk. The YEN/USD spot rate is 106.85, the one-year YEN/USD forward rate is 106.12, and the one-year YEN/USD cross currency swap basis is –0.63.A is correct. Stuyvesant can sell US$10,000 converted at a spot rate of 106.85 to invest proceeds of ¥1,068,500 at –0.40%. After one year, the Japanese bonds are sold (1,068,500 × 0.9960 = 1,064,226.00) and converted at the forward rate of 104.15, for proceeds of US$10,218.20. The fund has earned 10,218.20/10,000 – 1 = 2.18%. The 2.18% yield is higher than the 1.75% she could have earned in US Treasury bills. The difference is due to the basis given a high demand for US dollars.
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2022-05-30 13:22
該回答已被題主采納
同學(xué)您好
這里他應(yīng)該是算錯了。解析中并沒有交代這個值是怎么算出來的。
如果存在basis我們在利率平價時，就要把basis考慮上。
例如:F=S(1+rJPY-basis)/(1+rUSD)，這里我算了一下，大約basis是42 bps的時候，算出來才是104.15。
這種計算方法CFA中沒有提及，但在FRM中講了，因此不會考我們計算。
基于CFA的知識，我們應(yīng)該使用106.12這個遠(yuǎn)期匯率。
0
0
0
0
