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toffee · 2023年05月16日

这样写就客户以吧？

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000101

问题如下：

1. Analyze the movement of the USD against the foreign currency for Portfolio A. Justify your choice.

选项：

解释：

Justification

The 19.5% domestic-currency return for Portfolio A is higher than the 15% foreign-currency portfolio return in GBP; therefore, the USD necessarily depreciated relative to the GBP.

The domestic-currency return on a foreign portfolio will reflect both the foreign-currency return on the portfolio and the percentage movements in the spot exchange rate between the domestic and foreign currency. The domestic-currency return is multiplicative with respect to these two factors:

RDC = (1 + RFC)(1 + RFX) – 1

where RDC is the domestic-currency return (in percent), RFC is the foreign-currency return of the asset (portfolio), and RFX is the percentage change of the foreign currency against the domestic currency. (Note that in the RFX expression the domestic currency — the USD in this case — is the price currency.)

Solving for RFX: (1 + 15%)(1 + RFX) – 1 = 19.50%; RFX = 3.91%

Thus, the USD depreciated relative to the GBP. That is, the GBP appreciated against the USD because RFX is quoted in terms of USD/GBP, with the USD as the price currency and GBP as the base currency, and in this example RFX is a positive number (3.91%).

中文解析：

本小题考察的是外汇投资中return的计算公式：RDC = (1 + RFC )(1 + RFX ) – 1

根据题干信息可知，Rdc=19.5%,Rfc=15%，根据公式RDC = (1 + RFC)(1 + RFX) – 1 得到Rfx是大于0的，具体数值是3.91%，其中Rfx的汇率表达形式是本币/外币即USD/GBP，因此Rfx大于0，意味着GBP升值，对应的就是USD贬值。

19.5%=（1+0.15）x（1+R(FX1)）-1

R(FX1)=3.91%

USD is depreciated against GBP

因为我自己心里知道谁是pricing 谁是base ，有必要一定描述下吗？

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1 个答案

pzqa31 · 2023年05月17日

嗨，爱思考的PZer你好：


USD is depreciated against GBP已经说明USD贬值，GBP升值了，或者你写成GBP/USD的标价形式，就代表USD是base currency了，这种情况下就不用特别说明了。不过具体还是要看题目，如果确实有需要的时候再说明。

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