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lcrcp3 · 2023年09月16日

如题

  1. CFA II
  2. Economics Analysis

NO.PZ2023041102000007

问题如下：

Earlier in the year, Drawbridge hedged a long exposure to the Australian dollar (AUD) by selling AUD 5 million forward against the US dollar (USD); the all-in forward price was 0.8940 (USD/AUD). It is now three months prior to the settlement date, and Hollingsworth want to mark the forward position to market.

Exhibit 1 provides information about current rates in the foreign exchange markets.

The mark-to-market value for Drawbridge’s forward position is closest to:

选项：

A.–USD44,774.

B.–USD44,800.

C.–USD42,576.

解释：

1. Drawbridge sold AUD 5 million forward to the settlement date at an all-in forward price of 0.8940 (USD/AUD).

2. To mark the position to market, Drawbridge offsets the forward transaction by buying AUD 5 million three months forward to the settlement date.

3. For the offsetting forward contract, because the AUD is the base currency in the USD/AUD quote, buying AUD forward means paying the offer for both the spot rate and forward points.I. The all-in three-month forward rate is calculated as 0.9066 – 0.00364 = 0.90296II. This gives a net cash flow on settlement day of 5,000,000 × (0.8940 – 0.90296) = –USD44,800 (This is a cash outflow because Drawbridge sold the AUD forward and the AUD appreciated against the USD).

4. To determine the mark-to-market value of the original forward position, calculate the present value of the USD cash outflow using the three-month USD discount rate: –USD44,8000/[1 + 0.0023(90/360)] = –USD44,774.

0.90252~0.90296，这种mark to market的题，也甭管题里说的sell还是buy，反正我是分不清了，直接都选大的那个呗

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1 个答案

笛子_品职助教 · 2023年09月17日

嗨，从没放弃的小努力你好：


0.90252~0.90296，这种mark to market的题，也甭管题里说的sell还是buy，反正我是分不清了，直接都选大的那个呗

Hello，亲爱的同学~


0.90252~0.90296，左边数字小的是bid价。右边数字大的是ask价。


汇率标价方式为：price currency / base currency


买入的是base currency的ask价。

卖出的是base currency的bid价。


同学也可以按照大小关系，按照自己的方式来理解。只要与题目一致，算对结果即可。

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2024-06-17 12:17 1 · 回答

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