mark to market value

NO.PZ2023041102000006 问题如下 Anna Golworthy is the chief financiofficer of a manufacturing firm heauarterein the UniteKingm. Golworthy gathers the exchange rates from aler A in Exhibit 1.In three months, the firm will receive EUR 5,000,000 (euros) from another customer. Six months ago, the firm solEUR 5,000,000 against the Gusing a nine-month forwarcontraall-in priof GBP/EUR 0.7400. To mark the position to market, Unrwoocollects the GBP/EUR forwarrates in Exhibit 2.Baseon Exhibits 1, 2, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G20,470. B.G20,500. C.G21,968. Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.7342/0.7344, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.7344 + (15/10000) = 0.7359. Golworthy solEUR 5,000,000 0.7400 anbought 0.7359. The net cash flow the settlement te will equEUR 5,000,000 × (0.7400 – 0.7359) GBP/EUR = G20,500. This cash flow will occur in three months, so we scount the three-month GLibor rate of 58 bps: 老师，有两个问题请教下1、我记得之前做过一道题，用的是miuote，请问什么情况计算用miuote，什么情况用biask price呢？2、题目中给的90-y libor，180-y libor都是指年化的吗？有特殊情况吗

NO.PZ2023041102000006 问题如下 Anna Golworthy is the chief financiofficer of a manufacturing firm heauarterein the UniteKingm. Golworthy gathers the exchange rates from aler A in Exhibit 1.In three months, the firm will receive EUR 5,000,000 (euros) from another customer. Six months ago, the firm solEUR 5,000,000 against the Gusing a nine-month forwarcontraall-in priof GBP/EUR 0.7400. To mark the position to market, Unrwoocollects the GBP/EUR forwarrates in Exhibit 2.Baseon Exhibits 1, 2, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G20,470. B.G20,500. C.G21,968. Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.7342/0.7344, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.7344 + (15/10000) = 0.7359. Golworthy solEUR 5,000,000 0.7400 anbought 0.7359. The net cash flow the settlement te will equEUR 5,000,000 × (0.7400 – 0.7359) GBP/EUR = G20,500. This cash flow will occur in three months, so we scount the three-month GLibor 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aler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？

NO.PZ2023041102000006 问题如下 Anna Golworthy is the chief financiofficer of a manufacturing firm heauarterein the UniteKingm. Golworthy gathers the exchange rates from aler A in Exhibit 1.In three months, the firm will receive EUR 5,000,000 (euros) from another customer. Six months ago, the firm solEUR 5,000,000 against the Gusing a nine-month forwarcontraall-in priof GBP/EUR 0.7400. To mark the position to market, Unrwoocollects the GBP/EUR forwarrates in Exhibit 2.Baseon Exhibits 1, 2, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G20,470. B.G20,500. C.G21,968. Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.7342/0.7344, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.7344 + (15/10000) = 0.7359. Golworthy solEUR 5,000,000 0.7400 anbought 0.7359. The net cash flow the settlement te will equEUR 5,000,000 × (0.7400 – 0.7359) GBP/EUR = G20,500. This cash flow will occur in three months, so we scount the three-month GLibor rate of 58 bps: 答案说 The GBP/EUR spot rate is 0.7342/0.7344, anthe three-month forwarpoints are 14.0/15.0. 选用了大的0.7344+0.0015这个汇率。我有点不明白的是，我之前的理解用卖EUR去和aler买GBP，aler要赚差价，所以应该换来的是少的那个，所以我选的前面的0.7342+0.0014这个汇率去计算。请帮忙一下为什么这里要用更大的汇率，我有点晕了。最近刷题脑子不转了