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. 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.
USD2,500,000 × 0.8876 = EUR2,219,000.
2. 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.
All-in forward rate = 0.8875 + (20/10,000) = 0.8895.
USD2,650,000 × 0.8895 =
EUR2,357,175.
3. Therefore, the net cash flow is equal to EUR2,357,175 – EUR2,219,000, which is equal to EUR138,175.
中文解析:
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。
1. 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0.8876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2.5million*0.8876=2.219million。
2. 新签订的远期合约,注意此时的合约规模是2.65million,按照9.8895的汇率,因此在合约到期的时候我们会通过卖掉2.65million的美元收到2.357175million的欧元。
3. 后者是收到前者是花掉,二者作差就是所求。
老师您好!
本题中,用的是forward,不是future。
关闭老的USD2.5M的Forward合同时,我们到期才支付美元,也就是延后了一个月交货(美元)
开出新的USD2.65M的Forward合同,我们当期就从对方手中收到欧元,也就是提前一个收款(欧元),但没有同步交货
我印象中的远期外汇交易是:提前锁定汇率,但到期同步交割。而不是先收款,到期再交货。
本题解却是:先收款(欧元),一个月后才交货(美元)。这会引发现金流折现、信用风险等诸多额外问题。
请问我的理解错在哪里?