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mushkc · 2023年06月17日

currency hedge and forward premium

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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

读了其他同学本题的问答,还是没看懂这道题的逻辑关系。

1)可以逐步讲解一下本题的解题思路吗?

2)什么时候用spot rate/forward premium低的数,什么时候用spot rate/forward premium高的数?

2 个答案
已采纳答案

pzqa31 · 2023年06月17日

嗨,从没放弃的小努力你好:


然后关于汇率选择的问题,是这样的,因为题目中给的汇率都是dealer的报价,投资者和dealer是对手方的关系,比如dealer bid的价格(买价,小的数字),就是我们的卖价,反之,dealer ask的价格(卖价,大的数),就是我们要去买这种货币的价格。当然,前提是我们要把想买卖的货币放在base currency。

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加油吧,让我们一起遇见更好的自己!

pzqa31 · 2023年06月17日

嗨,爱思考的PZer你好:


同学,这道题我近期做过一个比较详细的解答,你可以参考以下,看看哪里还有问题可以再来提问https://class.pzacademy.com/qa/127049

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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2024-01-15 22:11 2 · 回答