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Captain America · 2022年12月03日

请问这个forward points如何理解？

  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 × (–0.0012) = –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 × (–0.0012) = –12.

请问这个forward points如何理解？

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笛子_品职助教 · 2022年12月04日

嗨，爱思考的PZer你好：


请问这个forward points如何理解？


forward points是远期合约升贴水的含义。

一个points是指最小变动单位。如果汇率表达式精确到小数点后4位，一个points是0.0001。如果汇率表达精确到小数点后3位，一个pionts是0.001

比如sport汇率是 0.8465，而目前市场上交易的forward合约汇率是0.8453

于是forward合约的汇率比sport汇率低了-0.0012，也就是12个points。


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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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