CFA特许金融分析师-CFA二级-新手入门（参考）-Economics

CFA特许金融分析师-CFA二级-新手入门（参考）-Economics共享题干题AnnaGoldsworthyisthechieffinancialofficerofamanufactur（江南博哥）ingfirmheadquarteredintheUnitedKingdom.Sheisresponsibleforoverseeingexposuretopriceriskinboththecommodityandcurrencymarkets.Goldsworthyissettlingherend-of-quartertransactionsandcreatingreports.Herintern,ScottUnderwood,assistsherinthisprocess.ThefirmhedgesinputcostsusingforwardcontractsthatarepricedinUSdollars(USD)andMexicanpesos(MXN).Processedgoodsarepackagedforsaleunderlicensingagreementswithfirmsinforeignmarkets.GoldsworthyisexpectingtoreceiveacustomerpaymentofJPY225,000,000(Japaneseyen)thatshewantstoconverttopoundssterling(GBP).UnderwoodgatherstheexchangeratesfromDealerAinExhibit1.ThefirmmustalsobuyUSDtopayamajorsupplier.GoldsworthycallsDealerAwithspecificdetailsofthetransactionandaskstoverifytheUSD/GBPquote.DealerAcallsherbacklaterwitharevisedUSD/GBPbid/offerquoteof1.5760/1.5768.GoldsworthymustpurchaseMXN27,000,000topayaninvoiceattheendofthequarter.InadditiontothequotesfromDealerA,UnderwoodcontactsDealerB,whoprovidesabid/offerpriceofGBP/MXN0.0366/0.0372.Tocheckwhetherthedealerquotesarereflectiveofanefficientmarket,Underwoodexamineswhetherthepricesallowforanarbitrageprofit.Inthreemonths,thefirmwillreceiveEUR5,000,000(euros)from.anothercustomer.Sixmonthsago,thefirmsoldEUR5,000,000againsttheGBPusinganine-monthforwardcontractatanall-inpriceofGBP/EUR0.7400.Tomarkthepositiontomarket,UnderwoodcollectstheGBP/EURforwardratesinExhibit2.Goldsworthyalsoasksforthecurrent90-dayLiborsforthemajorcurrencies.Selectedthree-monthLibors(annualized)areshowninExhibit3.GoldsworthystudiesExhibit3andsays,"Wehavethespotrateandthe90-dayforwardrateforGBP/EUR.AslongaswehavetheGBP90-dayLibor,wewillbeabletocalculatetheimpliedEUR90-dayLibor.”Afterreadingadraftreport,Underwoodnotes,"WedonothedgetheincomingJapaneseyencashflow.YourreportasksforaforecastoftheJPY/GBPexchangeratein90days.WeknowtheJPY/GBPspotexchangerate.”Heasks,"DoestheinformationwehavecollectedtelluswhattheJPY/GBPexchangeratewillbein90days?"Goldsworthyreplies,"TheJPY/GBPexchangeratein90dayswouldbeavaluablepieceofinformationtoknow.Aninternationalparityconditioncanbeusedtoprovideanestimateofthefuturespotrate.”[单选题]1.UsingthequotesinExhibit1,theamountreceivedbyGoldsworthyfromconvertingJPY225,000,000willbeclosestto:A.GBP1,200,448.B.GBP1,200,576.C.GBP1,200,704.正确答案：A参考解析：表格1中给出了JYP/GBP的报价，由于分母货币是GBP所以这个报价是基于GBP而言。Goldsworthy想要将日元转换成英镑，相当于他要卖日元买英镑，那么相对于dealer而言就是要买日元卖英镑，那么卖英镑就是要用offerprice，因此是225,000,000/187.43=1,200,448，本题选A。[单选题]2.UsingExhibit1,whichofthefollowingwouldbethebestreasonfortherevisedUSD/GBPdealerquoteof1.5760/1.5768?A.ArequestforamuchlargertransactionB.AdropinvolatilityintheUSD/GBPmarketC.ArequesttotradewhenbothNewYorkandLondontradingcentersareopened正确答案：A参考解析：Postedquotesaretypicallyfortransactionsin1millionunitsofthebasecurrency.Largertransactionsmaybeharderforthedealertosellintheinterbankmarketandwouldlikelyrequirethedealertoquoteawiderspread(lowerbidpriceandhigherofferprice).影响dealer的外汇买卖价差因素有：①.银行间市场的外汇买卖价差。主要货币的流动性越好，价差更小；在主要的外汇交易中心开市时进行交易则流动性好，价差更小；市场波动性越大，价差更大。②.交易规模越大，价差越大③.dealer与客户的关系。dealer会通过降低价差来留住客户，但信用质量差的客户会有更高的价差。根据表格1，原来的USD/GBP是1.5762—1.5766，现在修正后的价差是1.5760—1.5768，所以价差是扩大了，那么只有A选项是正确的，更大的交易量会使得价差上升，其他两个选项都是使价差下降。[单选题]3.UsingthequotesfromDealerAandB,thetriangulararbitrageprofitonatransactionofMXN27,000,000wouldbeclosestto:A.GBP0.B.GBP5,400.C.GBP10,800.正确答案：A参考解析：TocomparewithDealerB'squote,shemusttaketheinverseofMXN/GBP,sothatshehasanoffertosellMXNatarateof1/27.0271=GBP0.0370andabidtopurchaseMXNatarateof1/27.3225=GBP0.0366.DealerAiseffectivelyquotingMXN/GBPat0.0366/0.0370.AlthoughshecaneffectivelybuypesosmorecheaplyfromDealerA(GBP0.0370fromDealerA,versusGBP0.0372fromDealerB),shecannotresellthemtoDealerBforahigherpricethanGBP0.0366.Thereisnoprofitfromtriangulararbitrage.[单选题]4.BasedonExhibits1,2,and3,themark-to-marketgainforGoldsworthy'sforwardpositionisclosestto:A.GBP20,470.B.GBP20,500.C.GBP21,968.正确答案：A参考解析：[单选题]5.BasedonExhibit2,Underwoodshouldconcludethatthree-monthEURLiboris:A.belowthree-monthGBPLibor.B.equaltothree-monthGBPLibor.C.abovethree-monthGBPLibor.正确答案：A参考解析：suggestsaforwardrategreaterthanthespotraterequiresanon-domesticrisk-freerate(inthiscase,theGBPLibor)greaterthanthedomesticrisk-freerate(EURLibor).Whencoveredinterestrateparityisviolated,traderscanstepinandconductarbitrage.[单选题]6.BasedontheexchangeratemidpointinExhibit1andtheratesinExhibit3,the90-dayforwardpremium(discount)fortheUSD/GBPwouldbeclosestto:A.-0.0040.B.-0.0010.C.+0.0010.正确答案：B参考解析：[单选题]7.UsingExhibits1,2,and3,whichinternationalparityconditionwouldGoldsworthymostlikelyusetocalculatetheEURLibor?A.RealinterestrateparityB.CoveredinterestrateparityC.Uncoveredinterestrateparity正确答案：B参考解析：specifiestheforwardexchangeratethatmustholdtopreventarbitragegiventhespotexchangerateandtherisk-freeratesinbothcountries.Iftheforwardandspotexchangeratesarekn