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B_Pang · 2023年05月24日

bid-ask 选择我晕了

  1. CFA II
  2. Economics Analysis

NO.PZ2023041102000006

问题如下：

Anna Goldsworthy is the chief financial officer of a manufacturing firm headquartered in the United Kingdom. Goldsworthy gathers the exchange rates from Dealer A in Exhibit 1.

In three months, the firm will receive EUR 5,000,000 (euros) from another customer. Six months ago, the firm sold EUR 5,000,000 against the GBP using a nine-month forward contract at an all-in price of GBP/EUR 0.7400. To mark the position to market, Underwood collects the GBP/EUR forward rates in Exhibit 2.

Based on Exhibits 1, 2, the mark-to-market gain for Goldsworthy’s forward position is closest to:

选项：

A.GBP 20,470. B.GBP 20,500. C.GBP 21,968.

解释：

Marking her nine-month contract to market six months later requires buying GBP/EUR three months forward. The GBP/EUR spot rate is 0.7342/0.7344, and the three-month forward points are 14.0/15.0. The three-month forward rate to use is 0.7344 + (15/10000) = 0.7359. Goldsworthy sold EUR 5,000,000 at 0.7400 and bought at 0.7359. The net cash flow at the settlement date will equal EUR 5,000,000 × (0.7400 – 0.7359) GBP/EUR = GBP 20,500. This cash flow will occur in three months, so we discount at the three-month GBP Libor rate of 58 bps:

答案说 The GBP/EUR spot rate is 0.7342/0.7344, and the three-month forward points are 14.0/15.0. 选用了大的0.7344+0.0015这个汇率。


我有点不明白的是，我之前的理解用卖EUR去和dealer买GBP，dealer要赚差价，所以应该换来的是少的那个，所以我选的前面的0.7342+0.0014这个汇率去计算。


请帮忙解释一下为什么这里要用更大的汇率，我有点晕了。最近刷题脑子不转了

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1 个答案

笛子_品职助教 · 2023年05月25日

嗨，爱思考的PZer你好：


请帮忙解释一下为什么这里要用更大的汇率，我有点晕了。最近刷题脑子不转了


这里有个知识点：

1）投资者买入价用ask价。投资者卖出价用bid价。

2）对于同一个报价商，ask价总是高于bid价。这样报价商才能赚钱。投资者通过支付给报价商买卖价差，来获得报价商的服务。


对于本题：

这里是投资者买入GBP/EUR（Marking her nine-month contract to market six months later requires buying GBP/EUR three months forward.）

买入用ask价，ask价更大。所以用更大的汇率。

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senyyf · 2024年04月07日

请问下我用EUR买GBP，用更大的汇率去买，换的GBP就更多，卖的话用小汇率，那报价商不是亏了吗？我之前记忆都是按交易商怎么赚钱就选哪个汇率，这个到底咋选？

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