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、什么时候需要折现？（3.1折现与3.2没有折现）
2、需要用哪个货币的labor折现？
3、怎么确定应该是USD/AUD还是AUD/USD？
4、FP(t)-FT，怎么确定应该选ask还是bid rate？
