forward/ futures平仓

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

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）

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

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。