问一道题：NO.PZ2018091706000059

NO.PZ2018091706000059 问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前，该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在，经销商必须购买100万瑞士法郎来结算到期的远期合约，那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零，所以结算日的现金流以英镑计算。英镑金额计算如下:180天前，经销商以1.4850的汇率卖出100万瑞郎兑1英镑，相当于买入673,400.67英镑(100万/1.4850)。也就是说，根据远期合同，经销商在结算日收到G673,400.67。今天，该交易商以1.4940瑞郎的即期利率(中间市场即期利率，因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说，基于现货交易，该交易商将在结算日支付669,344.04英镑。清算这两部分，可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 雖然不影響答題 但為何用中間利率 而不是ask price

NO.PZ2018091706000059 问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前，该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在，经销商必须购买100万瑞士法郎来结算到期的远期合约，那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零，所以结算日的现金流以英镑计算。英镑金额计算如下:180天前，经销商以1.4850的汇率卖出100万瑞郎兑1英镑，相当于买入673,400.67英镑(100万/1.4850)。也就是说，根据远期合同，经销商在结算日收到G673,400.67。今天，该交易商以1.4940瑞郎的即期利率(中间市场即期利率，因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说，基于现货交易，该交易商将在结算日支付669,344.04英镑。清算这两部分，可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 到期日是默認用平均價來平倉嗎？假如到期日平倉答完這個題，roll forwaranother 6 months 應該要怎麼理解呢？

NO.PZ2018091706000059问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前，该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在，经销商必须购买100万瑞士法郎来结算到期的远期合约，那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零，所以结算日的现金流以英镑计算。英镑金额计算如下:180天前，经销商以1.4850的汇率卖出100万瑞郎兑1英镑，相当于买入673,400.67英镑(100万/1.4850)。也就是说，根据远期合同，经销商在结算日收到G673,400.67。今天，该交易商以1.4940瑞郎的即期利率(中间市场即期利率，因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说，基于现货交易，该交易商将在结算日支付669,344.04英镑。清算这两部分，可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 之前几位同学问题关于为什么买入CHF为什么用中间价，之前老师的回答是“可以看出，今天是forwar到期日，到期就需要结算，结算价是中间价”。我想说的是这个计算结算日的利润是多少，应该用【6个月前签的forwar算拿到的GBP】和【新签的FX SWAP买入CHF花出去的GBP】做差得到。而6个月签的forwar价格，题目已经给了1.4850，同学应该不会纠结这个问题。前面几位同学包括我，不理解的是，为什么新签FX swap要用中间价，并且不考虑加上forwarrate，用spot rate做平均。因为新签FX SWAP的时候，是买入CHF，用ask的价格。此时是否用中间价，和老师之前回答的forwor期日结算这个事情，我理解是不相干的，这是两份合约。所以总结下来，问题变为新签的FX SWAP1、为什么用中间价而不是ask的价格；2、为什么不用加上forwarrate，而用spot rate。谢谢老师

NO.PZ2018091706000059 问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前，该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在，经销商必须购买100万瑞士法郎来结算到期的远期合约，那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零，所以结算日的现金流以英镑计算。英镑金额计算如下:180天前，经销商以1.4850的汇率卖出100万瑞郎兑1英镑，相当于买入673,400.67英镑(100万/1.4850)。也就是说，根据远期合同，经销商在结算日收到G673,400.67。今天，该交易商以1.4940瑞郎的即期利率(中间市场即期利率，因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说，基于现货交易，该交易商将在结算日支付669,344.04英镑。清算这两部分，可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 为什么这个时候买入是中间价，而不是用银行的卖出价（ask）？

NO.PZ2018091706000059 问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前，该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在，经销商必须购买100万瑞士法郎来结算到期的远期合约，那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零，所以结算日的现金流以英镑计算。英镑金额计算如下:180天前，经销商以1.4850的汇率卖出100万瑞郎兑1英镑，相当于买入673,400.67英镑(100万/1.4850)。也就是说，根据远期合同，经销商在结算日收到G673,400.67。今天，该交易商以1.4940瑞郎的即期利率(中间市场即期利率，因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说，基于现货交易，该交易商将在结算日支付669,344.04英镑。清算这两部分，可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 想问一下合同的到期日为什么使用汇率的中间价来计算 1.4940 不应该是 之前卖了CHF 现在买入CHF 不应该以ask pri买入嘛 还有以后遇到这种题怎么区分 什么时候按照biask汇率计算什么时候按照中间汇率、