NO.PZ201601050100001502
问题如下：
Calculate the net cash flow (in euros) to maintain the desired hedge. Show
your calculations.
选项：
解释：
When hedging one month ago, Delgado would have sold USD2,500,000 one
month forward against the euro. Now, with the US dollar-denominated portfolio increasing in value to USD2,650,000, a mismatched FX swap is needed to
settle the initial expiring forward contract and establish a new hedge given the
higher market value of the US dollar-denominated portfolio.
To calculate the net cash flow (in euros) to maintain the desired hedge, the
following steps are necessary:
1. Buy USD2,500,000 at the spot rate. Buying US dollars against the euro means selling euros, which is the base currency in the USD/EUR spot rate. Therefore, the bid side of the market must be used to calculate the outflow in euros.
USD2,500,000 × 0.8876 = EUR2,219,000.
2. Sell USD2,650,000 at the spot rate adjusted for the one-month forward points (all-in forward rate). Selling the US dollar against the euro means buying euros, which is the base currency in the USD/EUR spot rate. Therefore, the offer side of the market must be used to calculate the inflow in euros.
All-in forward rate = 0.8875 + (20/10,000) = 0.8895.
USD2,650,000 × 0.8895 =
EUR2,357,175.
3. Therefore, the net cash flow is equal to EUR2,357,175 – EUR2,219,000, which is equal to EUR138,175.
中文解析：
首先呢我们是持有美元的外币资产，本币是欧元。因此在一个月前的头寸是short forward on EUR/USD，即锁定了一个月后卖美元买欧元的价格。
1. 现在到了一个月的时候，或者严格说是马上到了一个月的时候，因为在现实中我们不能真正在合约到期的当天进行平仓的，而是要提前个一两天，但是在做题的时候我们就忽略掉这个实务的问题处理哈。
此时我们的远期合约马上到期，如果到期我们就要按照合约约定的价格卖掉金额是2.5million的美元了，此时我们平仓的话是要在现货市场上买美元，注意这里我们需要保证的是买的美元的金额是2.5million，这一点是要保证的。但是使用的汇率却不是定下来的，是随行就市的。当前的汇率是0.8876才能买到美元，那么我们就只能使用这个汇率。因此我们买2.5million的美元需要花掉的欧元是2.5million*0.8876=2.219million。
2. 新签订的远期合约，注意此时的合约规模是2.65million，按照0.8895的汇率，因此在合约到期的时候我们会通过卖掉2.65million的美元收到2.357175million的欧元。
3. 后者是收到前者是花掉，二者作差就是所求。
老师 时间点不同，金额怎能相减？新签forword时，又没有cash flow，为什么只考虑新签forword未来到期结算的cash flow和现在平仓spot买美元的cash flow？那老forward到期结算的cash flow为啥不考虑？ 我感觉这题时间点也不明确，考虑哪些操作的cash flow也不明确。
我认为 现在时点的cash flow就两个，一个是老forword到期了，要卖usd，一笔现金流按照老合同约定汇率结成eur，另一笔现金流是平仓spot市场买usd。这个时点没有其他现金流了，新签forword没有现金流发生。
