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Ironlung · 2024年01月31日

升值还是贬值

NO.PZ2018111501000022

问题如下:

Testa acquired a Spanish packaging company. The Spanish investment involved Testa acquiring 200,000 shares of a packaging company at EUR90 per share. He decided to fully hedge the position with a six month USD/EUR forward contract. Details of the euro hedge at initiation and three months later are provided in Exhibit 1.

Exhibit 1 2009 Spot and Forward USD/EUR Quotes (Bid-Oer) and Annualized Libor Rates

Using Exhibit 1, if the Spanish shares had been sold after three monthshow would the manager do to close the initial transaction?

选项:

A.

Sell EUR 18 million at spot.

B.

Sell EUR 18 million three months forward.

C.

Buy EUR 18 million three months forward.

解释:

C is correct.

考点:Mark-to-market value of Forward Contract

解析:

Testa现在持有18m的欧元股票,本币是USD,外币是EUR。

0时刻:持有外币EUR资产,担心外币EUR贬值,因此short forward on USD/EUR,期限为6个月,合约规模是18million。

3个月:这些欧元的股票被卖掉了,因此之前在0时刻签订的期限为6个月的forward合约,现在用不到了,需要平仓平掉,因此需要签反向头寸进行平仓。

又因为之前的合约还剩下3个月到期,因此我们的反向头寸的合约期限也应该是3个月,面值也仍然是18million。因此我们需要long 3个月到期的规模为18million的forward合约,选C。

我想问一下表里显示spot rate USD/EUR at maturity是大于目前的"3 MONTH LATER"以及“initiation”的spot rate,所以我理解根据这一条是预测EUR会升值的,为什么答案说是担心贬值?

1 个答案

pzqa31 · 2024年02月01日

嗨,努力学习的PZer你好:


这个原始合约是在0时刻签订的,这个时候并不知道三个月以后的汇率是怎么变化,因为这时持有外币资产,肯定会担心未来外币会贬值。然后时间来到三个月这个时间点,这道题就是站在这个时间点做平仓操作哈。

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努力的时光都是限量版,加油!

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