问一道题：NO.PZ2018091706000044

NO.PZ2018091706000044问题如下Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to:A.US324.B.US-323.64.C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 衍生品的思路解发可以再写一下吗？用衍生品的方法算出来的不一样… 算着算着就混乱了

NO.PZ2018091706000044问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to:A.US324.B.US-323.64.C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 我理解就是交易者，我们要进一份合约，那我们就是用Ask价格购买，如果aler的话，他要做一份合约他的买价就是用Bi格对吧？

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US老师上课不是说汇率换算要乘小除大吗，换美元应该乘汇率消除BBP，为什么乘大的呢？

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 我以为是30/90，能一下吗，谢谢老师

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 每次做题的时候有点分不清，有没有什么好的记忆方法呢？