标题: Incorrect solution to question in curriculum book 1 - forex [打印本页]

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作者: skycfa    时间: 2013-5-7 13:47     标题: Incorrect solution to question in curriculum book 1 - forex

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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作者: BC_MBA_student    时间: 2013-5-7 13:54

(0.0141 - 0.0487) * 270/360 = -0.02595

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作者: Muddahudda    时间: 2013-5-7 13:58

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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作者: cityboy    时间: 2013-5-7 14:02

Yes thanks guys - so the book is wrong??

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作者: adehbone    时间: 2013-5-7 14:06

The book’s correct:
CAD1.0145/AUD1.0000

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作者: bbtomato    时间: 2013-5-7 14:09

Thanks all - sorry if I’m being dense - S2000 - the calculation you’ve laid out above:
CAD1.0145/AUD1.0000

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作者: CFA4Techie    时间: 2013-5-7 14:13

I’m an idiot - disregard the above, I know what I’ve been doing wrong!!
Thanks again all.

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