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yan · 2024年10月10日

划线部分,即签订一个新远期合约,这样如今就没有额外的现金流,这句话与前面1-2中先sell USD再buy USD关系是什么没懂

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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。



1 个答案
已采纳答案

pzqa35 · 2024年10月11日

嗨,从没放弃的小努力你好:


我们先sell USD forward,在buy USD在现货市场,这个是平仓第一份合约,也就是名义金额为2.5million的合约。因为在期初,我们的外币资产是2.5million,所以我们为了hedge风险,就签定一份期限为1个月,卖出2.5million USD的forward。接着时间来到1个月之后,我们需要平仓掉这份合约,也就是在现货市场上买入2.5million USD,所得到的差额就是net cash flow。

平仓之后,前一份合约结束,开仓新合约,新合约的名义本金变成了2.65million。我们这样不断滚动调仓的目的就是为了使未来我们真的结束投资时hedge的金额和实际金额最接近。

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