NO.PZ202208100100000403
问题如下：
Using Exhibit 1, if the Spanish shares had been sold after three months, the cash outflow (in US dollars) required to close out the forward contract would have been closest to:
选项：
A.489,182.00
B.489,850.00
C.491,400.00
解释：
B is correct.
The initial foreign asset position was EUR18 million: 200,000 shares × EUR90/share. The six-month forward contract would have been sold using the bid of the base currency (euro) at an all-in forward rate of 1.3935 – 19/10,000 = 1.3916 USD/EUR.
If the position had been closed in three months, a three-month forward contract would have to be purchased at the offer of the base currency at an all-in forward rate of 1.4210 – 21/10,000 = 1.4189 USD/EUR.
The cash outflow at settlement would have been EUR18 million × (1.4189 – 1.3916) USD/EUR = USD491,400. This amount needs to be discounted by three months at the US dollar Libor rate: 491,400/(1 + 0.01266 × 90/360) = USD489,850.
A is incorrect. The euro Libor rate is used to discount the settlement cash flow: 491,400/(1 + 0.01814 × 90/360) = USD489,182.
中文解析：
初始的外币资产头寸是18million的欧元（0.2million股*90欧元/股）。
因此一开始需要short forward on 欧元，期限是6个月，对应的远期汇率是1.3935 – 19/10,000 = 1.3916 USD/EUR。（此合约在到期的时候是卖欧元，收到美元）
那现在3个月的时候股票被卖掉了，所以原来的6个月期限的合约用不到了，需要平仓平掉。签反向对冲合约：long forward on欧元，期限是3个月，对应的远期汇率是1.4210 – 21/10,000 = 1.4189 USD/EUR。（此合约到期的时候是买欧元，支付美元）
那么在到期的时候（也就是再过3个月后），对应的cash outflow就是EUR18 million×(1.4189–1.3916)USD/EUR = USD491,400。
但现在是站在3时刻，因此需要在到期时候的金额USD491,400向前折现3个月，即：491,400/(1 + 0.01266 × 90/360) = USD489,850。
C is incorrect. It uses the settlement cash flow, ignoring any discounting: USD491,400.Solution
什么时候要折现什么时候不要折现
