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石欣灵 · 2020年10月20日

麻烦教一下怎么算

When hedging one month ago, Delgado would have sold USD2,500,000 one month forward against the euro. Now, with the US dollar-denominated portfolio increasing in value to USD2,650,000, a mismatched FX swap is needed to settle the initial expiring forward contract and establish a new hedge given the higher market value of the US dollar-denominated portfolio.

To calculate the net cash flow (in euros) to maintain the desired hedge, the following steps are necessary:

  1. Buy USD2,500,000 at the spot rate. Buying US dollars 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 outflow in euros.
  2. USD2,500,000 × 0.8875 = EUR2,218,750.
  3. Sell USD2,650,000 at the spot rate adjusted for the one-month forward points (all-in forward rate). Selling the US dollar against the euro means buying euros, which is the base currency in the USD/EUR spot rate. Therefore, the offer side of the market must be used to calculate the inflow in euros.
  4. All-in forward rate = 0.8876 + (25/10,000) = 0.8901.
  5. USD2,650,000 × 0.8901 = EUR2,358,765.
  6. Therefore, the net cash flow is equal to EUR2,358,765 – EUR2,218,750, which is equal to EUR140,015.


1 个答案

xiaowan_品职助教 · 2020年10月20日

嗨,爱思考的PZer你好:


同学你好,

首先这个题目是有点问题的,题干里面的标价方式和教材的不符,按照实际的欧元和美元的比价关系,0.8875对应的应该是EUR/USD这样的标价方式,而不是USD/EUR。

整体思路是:在一个月前用一个月到期的forward进行了hedge,现在forward到期了,需要roll到下个合约,目的是maintain the hedge。

这个操作就是先买USD,这是为了平仓之前的合约,因为之前的合约已经到期了,所以价格回归现货,用的是现货价格;

然后再开仓新的合约,short USD,用的是forward rate。

 


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