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RhettRay · 2023年08月10日

bid ask的选择上，我的思路是否正确

  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:

（1）6个月前，公司签订远期合约，约定9个月后以f0的价格卖出EUR，支付GBP，把EUR当做base currency/苹果来考虑，f0价格是0.74 GBP/EUR；

（2）现在，盯市价值为远期与spot汇率的差，对于short 方，即期汇率越降低，合约越值钱；相当于以市场汇率重新卖出一份3个月的远期EUR，再平仓之前9个月的合约。

（3）从dealer角度看，是现在要买入远期EUR,卖GBP，卖什么就把什么当做base currency/苹果来考虑，所以这个时候报价形式要转化为(1/0.7344~1/0.7342)EUR/GBP,把GBP当成苹果，要以便宜的价格买苹果，所以价格取了倒数的倒数0.7344。


另外这样思考过程好长，是否有正确的或者简化的思路？

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笛子_品职助教 · 2023年08月11日

嗨，努力学习的PZer你好：


Hello，亲爱的同学~

这是一道Mark to market 的题目。

同学思路是正确的。

统一用base currency的思维处理外汇标价，已经是最简单的方法了。

没有更简化的思路了。


例题见基础讲义27-28页。这一类型的题目，统一用例题的方法来求解。只是换个数字，其他一切都不变。


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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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