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Pina · 2020年05月10日

问一道题:NO.PZ2018091706000044

问题如下:

BBQ firm is an American company and exported steel to a firm which is in England. For some reasons, BBQ will receive the payment of 3,600,000 GBP in six months and the firm would change these pounds into dollars. To hedge the currency risk, BBQ enters a 6 month forward contract to sold GBP at 1.5512USD/GBP

Three months passed. Now, the spot exchange market rate is 1.5500 USD/GBP for bid and 1.5505 for ask .The firm collects the forward rates and 90-Day Libor in the following tables:

According to the above information, the mark-to-market value for BBC’s forward position is closest to:

选项:

A.

USD 324.

B.

USD -323.64.

C.

USD 323.64.

解释:

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GBPUSD即在合约到期时公司要以1.5512USD/GBP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USD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 USD/GBP的市场报价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 = 324USD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USD所以折现时候需要使用USD3个月利率水平USD 3241+0.0045(90/360)=USD 323.64\frac{USD\text{ 324}}{1+0.0045{(90/360)}}=USD\text{ }323.64

老师好 为什么不用dealer ask price? 不是在90天的时候我们原来的forward contract 是sell 现在offset 的话不是要从dealer这里buy 吗? purchase price 不是应该是dealer 's ask price? 谢谢

Pina · 2020年05月10日

老师好 这题不用回答了 答案 是用dealer's ask price 来算的。 没问题了。

1 个答案

丹丹_品职答疑助手 · 2020年05月11日

嗨,努力学习的PZer你好:


同学你好,你的思路是对的。解析也说的是ask price。三个月后,是要买入这个3个月的合约来对冲之前那个卖出合约,所以用做市商的卖出价格。


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努力的时光都是限量版,加油!


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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

2024-11-09 17:45 1 · 回答

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2024-10-06 20:52 1 · 回答

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2024-08-30 21:03 1 · 回答

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