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坏呼呼嘿嘿 · 2023年07月14日

请问这个思路是啥？看不太懂

  1. CFA III
  2. Derivative

NO.PZ2022123002000002

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.


Calculate the net cash flow (in euros) to maintain the desired hedge. Show your calculations.

解释：

Correct Answer:

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 EUR/USD spot rate. Therefore, the offer 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 EUR/USD spot rate. Therefore, the bid 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.

请问这个思路是啥？看不太懂

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1 个答案

pzqa31 · 2023年07月14日

嗨，爱思考的PZer你好：


这题有些问题，具体来看一下：

1.     首先远期合约0时刻签约，到期时刻交割没有问题的哈。

2.     这道题目，我们可以简单分一下时间点，0时刻签订了一份远期合约，我们叫做老的远期合约吧，合约期限是1个月，那么在1个月的时候这个老合约到期；此时我们在它马上到期的时候平仓重开一份新的远期合约，就叫做新合约吧，这个新合约也是1个月的期限，因此是在2个月末的时候才发生交割。

3.     现在站在1这个时刻，老合约如果不平仓就要发生交割了，但是我们不能让它交割，所以需要在它马上到期的时候平仓，会发生现金流；但是新开的远期合约发生现金流是在1个月后，并不是现在，因为交割是发生在这个新合约到期的时候，也就是一个月后哈。

4.     严格来说，新合约发生的现金流不在此刻（即1个月时间点），因此计算此时的CF不应该包括；退一步说，如果要包括进去，也应该考虑到折现一个月的问题。

本题的问题也发生在这里，可以说协会是做了简化处理，他问的更像是我们平仓和开新合约这两个操作会发生的CF，并且是忽略折现问题的。只能说题目问的不是很好，处理也做了简化。

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