问题如下:
Testa acquired
a Spanish packaging company. The Spanish investment involved Testa acquiring
200,000 shares of a packaging company at EUR90 per share. He decided to fully
hedge the position with a six month USD/EUR forward contract. Details of the
euro hedge at initiation and three months later are provided in Exhibit 1.
Exhibit 1 2009 Spot and Forward USD/EUR Quotes (Bid-Offer) and Annualized Libor Rates
Using Exhibit 1, if the Spanish shares had been sold after three months, the mark-to-market value (in US dollars) the manager will report is closest to:
选项:
A. -$489,182.
B.
-$489,850.
C.
-$491,400.
解释:
B is correct.
考点:Mark-to-market value of Forward Contract
解析:0时刻签订6个月远期合约,卖欧元,所以卖1欧元可获得1.3935-19/10000=1.3916USD.
3个月后,为了提早结束之前签订的远期合约,所以签订3个月的反向对冲合约,买欧元,所以买1欧元需支付-(1.4210-21/10000)=-1.4189USD。
合约的面值为200,000* EUR90 per share= EUR 18m,所以6个月后的现金流轧差为:USD(1.3916-1.4189)*18m, 以USD Libor=1.266%折到3个月后,所以折现的时间为90天,单利计算,(1.3916-1.4189)*18m/(1+1.266%*90/360)= -USD489,850。
这道题题目我没读懂,猜出来题怎么做了,但是事情没读懂,谁收购谁?然后又怎么了?求老师给翻译一下。。。