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SHAO · 2024年02月22日

老师，请教下

  1. CFA II
  2. Economics Analysis

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:

老师，有两个问题请教下：

1、我记得之前做过一道题，用的是midquote，请问什么情况计算用midquote，什么情况用bid/ask price呢？

2、题目中给的90-day libor，180-day libor都是指年化的吗？有特殊情况吗

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笛子_品职助教 · 2024年02月22日

嗨，努力学习的PZer你好：


1、我记得之前做过一道题，用的是midquote，请问什么情况计算用midquote，什么情况用bid/ask price呢？

外汇衍生品合约未到期，需要在市场上提前平仓，则用到bid ask。

外汇衍生品合约已到期，无需在市场上提前平仓，到期会自动结算盈亏，此时用mid quote


2、题目中给的90-day libor，180-day libor都是指年化的吗？有特殊情况吗

都指年化，没有特殊情况。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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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、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USAU是AUUS4、FP(t)-FT，怎么确定应该选ask还是birate？

2023-11-10 21:27 1 · 回答

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2023-08-10 15:28 1 · 回答

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