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skycfa

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tT
发表于 2013-5-7 13:47 | 只看该作者

Incorrect solution to question in curriculum book 1 - forex

question, solution, because
CFA Program Curriculum Lvl II Book 1, Reading 14, Page 495, Example 2 - Calculating the Forward Premium (Discount)
It might just be because it’s very late, but I cannot figure out how the book has come to the answer -0.0254 via the calculations & formulae listed.
Crunching the numbers just does not come out with that answer!!
The spot (CAD/AUD) is 1.0145
270 day LIBOR (AUD) is 4.87%
270 day LIBOR (CAD) is 1.41%
Can anyone shed any light here? I keep coming out with -0.03347, which isn’t even on their answer list!! (Closest is -0.0346, but pretty sure that’s just there as a trick as it’s the difference between the 2 interest rates).
Thanks guys & girls.

 

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BC_MBA_student

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发表于 2013-5-7 13:54 | 只看该作者
(0.0141 - 0.0487) * 270/360 = -0.02595

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Muddahudda

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发表于 2013-5-7 13:58 | 只看该作者
cpk is on the right track, but is not calculating it correctly. Your problem is not adjusting LIBOR to a 270-day rate.

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cityboy

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发表于 2013-5-7 14:02 | 只看该作者
Yes thanks guys - so the book is wrong??

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adehbone

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发表于 2013-5-7 14:06 | 只看该作者
The book’s correct:
CAD1.0145/AUD1.0000

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bbtomato

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发表于 2013-5-7 14:09 | 只看该作者
Thanks all - sorry if I’m being dense - S2000 - the calculation you’ve laid out above:
CAD1.0145/AUD1.0000

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CFA4Techie

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7#
发表于 2013-5-7 14:13 | 只看该作者
I’m an idiot - disregard the above, I know what I’ve been doing wrong!!
Thanks again all.

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