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西红柿面 · 2023年10月01日

关于FX Derivative

NO.PZ2021061002000064

问题如下:

A client has entered into a long six-month AUD/USD FX forward contract to long USD. If the AUD rate were to decline by 50 bps immediately after the contract is agreed, Which of the following statements is correct?

选项:

A.

The lower interest rate differential between AUD and USD will cause the client to realize an MTM loss on the AUD/USD forward contract.

B.

The client will realize an MTM gain on the FX forward contract due to the decline in the AUD versus USD interest rate differential.

C.

The lower interest rate differential between AUD and USD will cause the AUD/USD contract forward rate to be adjusted downward.

解释:

中文解析:

方法一:

本题考察的是外汇远期的估值公式:


外汇远期合约标的是汇率,在本题中就是AUD/USD的汇率。所以远期合约可以锁定将来汇率,即forward rate,并且在整个合约期间是不会发生变化的。所以C选项不对。

根据题意可知两国的利差会降低,根据上式可以看到利差缩小会使得value下降,即有一个MTM value loss,因此A对,B错。

还是有点不太懂FX Derivative这里,客户进入了一份6个月AUD/USD外汇远期合约的多头头寸,那么就是在未来要买入USD,卖出AUD,所以锁定了一个rate来用这个固定的rate来买入USD。公式来解释我明白:rf-rd减小,被减项变大,则value变小,即产生loss。


但是从定义forward我就锁定了一个汇率去买美元,现在AUD下降了,就等于USD上升了,我们现在约定以一个固定的rate来在未来买入USD,那不是应该是gain吗?

1 个答案
已采纳答案

李坏_品职助教 · 2023年10月02日

嗨,爱思考的PZer你好:


题目说AUD利率下降,不是说AUD在贬值,而是说澳大利亚的利率下降了。那么按照利率平价理论(interest rate parity),利率下降的国家远期汇率倾向于升值。所以AUD的远期汇率相对于USD会升值,应该是USD在远期相对贬值。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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