NO.PZ2023041102000007
问题如下：
Earlier in the year, Drawbridge hedged a long exposure to the Australian dollar (AUD) by selling AUD 5 million forward against the US dollar (USD); the all-in forward price was 0.8940 (USD/AUD). It is now three months prior to the settlement date, and Hollingsworth want to mark the forward position to market.
Exhibit 1 provides information about current rates in the foreign exchange markets.
The mark-to-market value for Drawbridge’s forward position is closest to:
选项：
A.–USD44,774. B.–USD44,800. C.–USD42,576.解释：
1. Drawbridge sold AUD 5 million forward to the settlement date at an all-in forward price of 0.8940 (USD/AUD).
2. To mark the position to market, Drawbridge offsets the forward transaction by buying AUD 5 million three months forward to the settlement date.
3. For the offsetting forward contract, because the AUD is the base currency in the USD/AUD quote, buying AUD forward means paying the offer for both the spot rate and forward points.
I. The all-in three-month forward rate is calculated as 0.9066 – 0.00364 = 0.90296
II. This gives a net cash flow on settlement day of 5,000,000 × (0.8940 – 0.90296) = –USD44,800 (This is a cash outflow because Drawbridge sold the AUD forward and the AUD appreciated against the USD).
4. To determine the mark-to-market value of the original forward position, calculate the present value of the USD cash outflow using the three-month USD discount rate: –USD44,8000/[1 + 0.0023(90/360)] = –USD44,774.
1. Drawbridge在结算日以0.8940(美元/澳元)的远期价格卖出500万澳元。
2. 为了将头寸与市场挂钩，Drawbridge通过买入三个月的500万澳元远期来抵消未来交易的影响。
3. 对于抵消性远期合约，由于澳元是美元/澳元报价中的基础货币，因此购买远期澳元意味着同时支付即期汇率和远期点的报价。
1、三个月远期汇率计算为0.9066 - 0.00364 = 0.90296
2、这使得结算日的净现金流量为5,000,000 ×(0.8940 - 0.90296) = - 44,800美元(这是现金流出，因为Drawbridge卖出了澳元远期，澳元对美元升值)。
4. 为了确定原始远期头寸的市值，使用三个月美元贴现率计算美元现金流出的现值:- 44,8000美元/[1 + 0.0023(90/360)]= - 44,774美元。
如果是0.9062的话，一个aud只能换0.9062个usd，少于0.9066个usd，所以难道不应该0.9062这个rate更贵吗？
