NO.PZ201601050100001502
问题如下:
Calculate the net cash flow (in euros) to maintain the desired hedge. Show
your calculations.
选项:
解释:
When hedging one month ago, Delgado would have sold USD2,500,000 one month forward against the euro.To calculate the net cash flow (in euros) today, the following steps are necessary:
1. Sell USD2,500,000 at the one-month forward rate stated in the forward contract. Selling US dollars against the euro means buying euros, which is the base currency in the USD/EUR forward rate. Therefore, the offer side of the market must be used to calculate the inflow in euros.
All-in forward rate = 1.1714 + (10/10,000) = 1.1724USD
2,500,000 / 1.1724 = EUR2,132,378.03.
2. Buy USD2,500,000 at the spot rate to offset the USD sold in Step 1 above. Buying the US dollar against the euro means selling euros, which is the base currency in the USD/EUR spot rate. Therefore, the bid side of the market must be used to calculate the inflow in euros.USD2,500,000 / 1.1575 = EUR2,159,827.21.
3. Therefore, the net cash flow is equal to EUR2,132,378.03 – EUR2,159,827.21, which is equal to a net outflow of EUR27,449.18.
To maintain the desired hedge, Delgado will then enter into a new forward contract to sell the USD2,650,000. There will be no additional cash flow today arising from the new forward contract.
中文解析:
1.首先呢我们是持有美元的外币资产,本币是欧元。因此在一个月前的头寸是short forward on EUR/USD,即锁定了一个月后卖美元买欧元的价格。因为题目中的报价是USD/EUR,所以我们一个月后卖美元,买欧元的forward price=1.1714 + (10/10,000) = 1.1724USD,那么2500000美元就可以换成2,500,000 / 1.1724 = EUR2,132,378.03
2.现在到了一个月的时候,或者严格说是马上到了一个月的时候,因为在现实中我们不能真正在合约到期的当天进行平仓的,而是要提前个一两天,但是在做题的时候我们就忽略掉这个实务的问题处理哈。此时我们的远期合约马上到期,如果到期我们就要按照合约约定的价格卖掉金额是2.5million的美元了,此时我们平仓的话是要在现货市场上买美元,注意这里我们需要保证的是买的美元的金额是2.5million,这一点是要保证的。但是使用的汇率却不是定下来的,是随行就市的。当前的汇率是1.1575才能买到美元,那么我们就只能使用这个汇率。因此我们买2.5million的美元需要花掉的欧元是USD2,500,000 / 1.1575 = EUR2,159,827.21。
3.二者作差就是所求,也就是现金流净流出为 EUR2,132,378.03 – EUR2,159,827.21= EUR27,449.18.
4.新签订的远期合约,注意此时的合约规模是2.65million,此时合约期初,不存在现金流的流动。