NO.PZ201601050100001502
问题如下：
Rosario Delgado is an investment manager in Spain. Delgado’s client, Max Rivera, seeks
assistance with his well-diversified investment portfolio denominated in US dollars.
Rivera’s reporting currency is the euro, and he is concerned about his US dollar
exposure. His portfolio IPS requires monthly rebalancing, at a minimum. The portfolio’s
market value is USD2.5 million. Given Rivera’s risk aversion, Delgado is considering
a monthly hedge using either a one-month forward contract or one-month futures
contract.
Assume Rivera’s portfolio was perfectly hedged. It is now time to rebalance the
portfolio and roll the currency hedge forward one month. The relevant data for rebalancing are provided in Exhibit 1.
With the US dollar currently trading at a forward premium and US interest rates
lower than Spanish rates, Delgado recommends trading against the forward rate bias
to earn additional return from a positive roll yield.
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。
之前提问，老师说表格中的报价是dealer的报价，咱们买美元对应的是dealer卖美元，因此应该用ask价格，是0.8876。那这个逻辑我能理解，买美元支出欧元，花的欧元就要多。但为什么跟以前记的“乘小除大”不一样呢，这里是*，却要*大。绕不明白了……
