官网题23题答案A中，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.104.15哪来的？

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张同学2022-05-29 14:16:23

官网题23题答案A中，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.104.15哪来的？

回答（1）

Chris Lan2022-05-30 13:22:05

同学您好
这里他应该是算错了。解析中并没有交代这个值是怎么算出来的。

如果存在basis我们在利率平价时，就要把basis考虑上。
例如:F=S(1+rJPY-basis)/(1+rUSD)，这里我算了一下，大约basis是42 bps的时候，算出来才是104.15。
这种计算方法CFA中没有提及，但在FRM中讲了，因此不会考我们计算。
基于CFA的知识，我们应该使用106.12这个远期汇率。