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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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加油吧，让我们一起遇见更好的自己！

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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NO.PZ2023041102000006 问题如下 Anna Golworthy is the chief financiofficer of a manufacturing firm heauarterein the UniteKingm. Golworthy gathers the exchange rates from aler A in Exhibit 1.In three months, the firm will receive EUR 5,000,000 (euros) from another customer. Six months ago, the firm solEUR 5,000,000 against the Gusing a nine-month forwarcontraall-in priof GBP/EUR 0.7400. To mark the position to market, Unrwoocollects the GBP/EUR forwarrates in Exhibit 2.Baseon Exhibits 1, 2, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G20,470. B.G20,500. C.G21,968. Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.7342/0.7344, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.7344 + (15/10000) = 0.7359. Golworthy solEUR 5,000,000 0.7400 anbought 0.7359. The net cash flow the settlement te will equEUR 5,000,000 × (0.7400 – 0.7359) GBP/EUR = G20,500. This cash flow will occur in three months, so we scount the three-month GLibor rate of 58 bps:6个月后将她的9个月合约与市场挂钩，需要买入英镑/欧元3个月的元气合约。英镑兑欧元即期汇率为0.7342/0.7344，三个月远期汇率的点数为14.0/15.0。三个月远期汇率为0.7344 +(15/10000)= 0.7359。Golworthy在0.7400卖出500万欧元，在0.7359买入。结算日的净现金流量将等于500万欧元×(0.7400 - 0.7359)英镑/欧元= 20,500英镑。这笔现金流将在三个月后发生，因此我们以三个月期英镑伦敦银行同业拆借利率58个基点进行贴现得到: 如题

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