开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

tzdsgn · 2023年07月24日

可以写一下正确的计算思路和结果吗

  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.

选项：

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.

可以写一下正确的计算思路和结果吗，或者在经典题视频里吗

添加评论
1 个答案

pzqa31 · 2023年07月25日

嗨，努力学习的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。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 363

    浏览
相关问题

NO.PZ2022123002000002 问题如下 Rosario lga is aninvestment manager in Spain. lga’s client, MRiverseeks assistancewith his well-versifieinvestment portfolio nominatein US llars.Rivera’s reportingcurrenis the euro, anhe is concerneabout his US llexposure. Hisportfolio IPS requires monthly rebalancing, a minimum. The portfolio’smarket value is US.5 million. Given Rivera’s risk aversion, lga isconsiring a monthly hee using either a one-month forwarcontraorone-month futures contract.Assume Rivera’sportfolio wperfectly hee It is now time to rebalanthe portfolio anoll the currenhee forwarone month. The relevant ta for rebalancingare proviin Exhibit 1.Calculate the net cash flow(in euros) to maintain the sirehee. Show your calculations. CorreAnswer:When heing onemonth ago, lga woulhave solUS,500,000 one month forwaragainst theeuro. Now, with the US llar-nominateportfolio increasing in value toUS,650,000, a mismatcheFX swis neeto settle the initiexpiringforwarcontraanestablish a new hee given the higher market value of theUS llar-nominateportfolio.To calculate thenet cash flow (in euros) to maintain the sirehee, the following steps arenecessary:1. Buy US,500,000 the spotrate. Buying US llars against the euro means selling euros, whiis the basecurrenin the EUR/USspot rate. Therefore, the offer si of the market mustuseto calculate the outflow in euros.US,500,000 × 0.8876= EUR2,219,000.2. Sell US,650,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate). Sellingthe US llagainst the euro means buying euros, whiis the base currencyin the EUR/USspot rate. Therefore, the bisi of the market must usetocalculate the inflow in euros.All-in forwarrate= 0.8875 + (20/10,000) = 0.8895.US,650,000 × 0.8895= EUR2,357,175.3. Therefore, the net cash flow isequto EUR2,357,175 – EUR2,219,000, whiis equto EUR138,175. roll有两种，一种是在每次全部都roll掉，另外一种是针对变动的头寸来roll，这个题目怎么判断是第一种而不是第二种呢，题目也没明确说明

2024-06-13 13:45 2 · 回答

NO.PZ2022123002000002 问题如下 Rosario lga is aninvestment manager in Spain. lga’s client, MRiverseeks assistancewith his well-versifieinvestment portfolio nominatein US llars.Rivera’s reportingcurrenis the euro, anhe is concerneabout his US llexposure. Hisportfolio IPS requires monthly rebalancing, a minimum. The portfolio’smarket value is US.5 million. Given Rivera’s risk aversion, lga isconsiring a monthly hee using either a one-month forwarcontraorone-month futures contract.Assume Rivera’sportfolio wperfectly hee It is now time to rebalanthe portfolio anoll the currenhee forwarone month. The relevant ta for rebalancingare proviin Exhibit 1.Calculate the net cash flow(in euros) to maintain the sirehee. Show your calculations. CorreAnswer:When heing onemonth ago, lga woulhave solUS,500,000 one month forwaragainst theeuro. Now, with the US llar-nominateportfolio increasing in value toUS,650,000, a mismatcheFX swis neeto settle the initiexpiringforwarcontraanestablish a new hee given the higher market value of theUS llar-nominateportfolio.To calculate thenet cash flow (in euros) to maintain the sirehee, the following steps arenecessary:1. Buy US,500,000 the spotrate. Buying US llars against the euro means selling euros, whiis the basecurrenin the EUR/USspot rate. Therefore, the offer si of the market mustuseto calculate the outflow in euros.US,500,000 × 0.8876= EUR2,219,000.2. Sell US,650,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate). Sellingthe US llagainst the euro means buying euros, whiis the base currencyin the EUR/USspot rate. Therefore, the bisi of the market must usetocalculate the inflow in euros.All-in forwarrate= 0.8875 + (20/10,000) = 0.8895.US,650,000 × 0.8895= EUR2,357,175.3. Therefore, the net cash flow isequto EUR2,357,175 – EUR2,219,000, whiis equto EUR138,175. 请老师明确说明在“toy”这个时间点的现金流发生情况（以我们未来参加考试时应该如何回答为标准）我在“toy”这个时间点，签订下个月的价值US2650000的 short forwar，我是否立刻会收到欧元现金？（请务必明确说明）

2024-02-10 18:38 1 · 回答

NO.PZ2022123002000002 问题如下 Rosario lga is aninvestment manager in Spain. lga’s client, MRiverseeks assistancewith his well-versifieinvestment portfolio nominatein US llars.Rivera’s reportingcurrenis the euro, anhe is concerneabout his US llexposure. Hisportfolio IPS requires monthly rebalancing, a minimum. The portfolio’smarket value is US.5 million. Given Rivera’s risk aversion, lga isconsiring a monthly hee using either a one-month forwarcontraorone-month futures contract.Assume Rivera’sportfolio wperfectly hee It is now time to rebalanthe portfolio anoll the currenhee forwarone month. The relevant ta for rebalancingare proviin Exhibit 1.Calculate the net cash flow(in euros) to maintain the sirehee. Show your calculations. CorreAnswer:When heing onemonth ago, lga woulhave solUS,500,000 one month forwaragainst theeuro. Now, with the US llar-nominateportfolio increasing in value toUS,650,000, a mismatcheFX swis neeto settle the initiexpiringforwarcontraanestablish a new hee given the higher market value of theUS llar-nominateportfolio.To calculate thenet cash flow (in euros) to maintain the sirehee, the following steps arenecessary:1. Buy US,500,000 the spotrate. Buying US llars against the euro means selling euros, whiis the basecurrenin the EUR/USspot rate. Therefore, the offer si of the market mustuseto calculate the outflow in euros.US,500,000 × 0.8876= EUR2,219,000.2. Sell US,650,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate). Sellingthe US llagainst the euro means buying euros, whiis the base currencyin the EUR/USspot rate. Therefore, the bisi of the market must usetocalculate the inflow in euros.All-in forwarrate= 0.8875 + (20/10,000) = 0.8895.US,650,000 × 0.8895= EUR2,357,175.3. Therefore, the net cash flow isequto EUR2,357,175 – EUR2,219,000, whiis equto EUR138,175. 真的很敷衍，说有勘误又不改答案，问了正确的计算过程应该是怎样的，几个回答都是复制粘贴的一模一样的文字根本没正面回答，服了

2024-02-07 13:30 1 · 回答

NO.PZ2022123002000002 问题如下 Rosario lga is aninvestment manager in Spain. lga’s client, MRiverseeks assistancewith his well-versifieinvestment portfolio nominatein US llars.Rivera’s reportingcurrenis the euro, anhe is concerneabout his US llexposure. Hisportfolio IPS requires monthly rebalancing, a minimum. The portfolio’smarket value is US.5 million. Given Rivera’s risk aversion, lga isconsiring a monthly hee using either a one-month forwarcontraorone-month futures contract.Assume Rivera’sportfolio wperfectly hee It is now time to rebalanthe portfolio anoll the currenhee forwarone month. The relevant ta for rebalancingare proviin Exhibit 1.Calculate the net cash flow(in euros) to maintain the sirehee. Show your calculations. CorreAnswer:When heing onemonth ago, lga woulhave solUS,500,000 one month forwaragainst theeuro. Now, with the US llar-nominateportfolio increasing in value toUS,650,000, a mismatcheFX swis neeto settle the initiexpiringforwarcontraanestablish a new hee given the higher market value of theUS llar-nominateportfolio.To calculate thenet cash flow (in euros) to maintain the sirehee, the following steps arenecessary:1. Buy US,500,000 the spotrate. Buying US llars against the euro means selling euros, whiis the basecurrenin the EUR/USspot rate. Therefore, the offer si of the market mustuseto calculate the outflow in euros.US,500,000 × 0.8876= EUR2,219,000.2. Sell US,650,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate). Sellingthe US llagainst the euro means buying euros, whiis the base currencyin the EUR/USspot rate. Therefore, the bisi of the market must usetocalculate the inflow in euros.All-in forwarrate= 0.8875 + (20/10,000) = 0.8895.US,650,000 × 0.8895= EUR2,357,175.3. Therefore, the net cash flow isequto EUR2,357,175 – EUR2,219,000, whiis equto EUR138,175. 第二份新forwar题目中提到的时间点不会发生任何现金流，所以官方答案就是错误的。没必要编出一套理论去迎合官方答案。

2024-01-20 20:12 1 · 回答

NO.PZ2022123002000002 问题如下 Rosario lga is aninvestment manager in Spain. lga’s client, MRiverseeks assistancewith his well-versifieinvestment portfolio nominatein US llars.Rivera’s reportingcurrenis the euro, anhe is concerneabout his US llexposure. Hisportfolio IPS requires monthly rebalancing, a minimum. The portfolio’smarket value is US.5 million. Given Rivera’s risk aversion, lga isconsiring a monthly hee using either a one-month forwarcontraorone-month futures contract.Assume Rivera’sportfolio wperfectly hee It is now time to rebalanthe portfolio anoll the currenhee forwarone month. The relevant ta for rebalancingare proviin Exhibit 1.Calculate the net cash flow(in euros) to maintain the sirehee. Show your calculations. CorreAnswer:When heing onemonth ago, lga woulhave solUS,500,000 one month forwaragainst theeuro. Now, with the US llar-nominateportfolio increasing in value toUS,650,000, a mismatcheFX swis neeto settle the initiexpiringforwarcontraanestablish a new hee given the higher market value of theUS llar-nominateportfolio.To calculate thenet cash flow (in euros) to maintain the sirehee, the following steps arenecessary:1. Buy US,500,000 the spotrate. Buying US llars against the euro means selling euros, whiis the basecurrenin the EUR/USspot rate. Therefore, the offer si of the market mustuseto calculate the outflow in euros.US,500,000 × 0.8876= EUR2,219,000.2. Sell US,650,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate). Sellingthe US llagainst the euro means buying euros, whiis the base currencyin the EUR/USspot rate. Therefore, the bisi of the market must usetocalculate the inflow in euros.All-in forwarrate= 0.8875 + (20/10,000) = 0.8895.US,650,000 × 0.8895= EUR2,357,175.3. Therefore, the net cash flow isequto EUR2,357,175 – EUR2,219,000, whiis equto EUR138,175. 比如买了一个一个后月卖出2.5million us买入euro的forwar如交割价格为eur/us0.8），一个月后需要平仓。一个月后，假如spot eur/us0.9, 我的平仓操作为什么是直接按照spot rate买入2.5million us而不是卖出到期合同所获得的euro 2million(=2.5*0.8)，然后再买入另外一个一个月后卖出2.65million us买入euro的forwar？

2023-08-14 21:38 1 · 回答