关于签订3 month forward contract buy EUR的疑问-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ202106160100000104 问题如下 Baseon Exhibits 1, 2, an3, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G19,971. B.G20,500. C.G21,968. A is correct.Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.9467/0.9471, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.9471+ (15/10000) = 0.9486. Golworthy solEUR 5,000,000 0.9526 anbought 0.9486. The net cash flow the settlement te will equEUR 5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. This cash flow will occur in three months, so we scount the three-month GLibor rate of 58 bps:GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04考点Mark –to-Market Value解析计算Market-to-Market Value的方法就是在当前时刻签订一笔反向对冲合约。投资者在6个月前先签订了一份长达9个月的合约，这份合约准许投资人以GBP/EUR=0.9526的价格卖出EUR.现在过去6个月的时间，该份合约还剩3个月到期，那么我们在当前时候就要签订一份时长为3个月的买EUR的合约。注意到表二中提供了3个月的汇率远升水情况。据此，我们可以求得未来三个月的远期汇率，由于反向对冲合约是在未来3个月买入EUR,所以要求ALER的卖价，即ASK:0.9471 + (15/10000) = 0.9486投资者以0.9486的价格买入EUR,并且以0.9526的价格卖出EUR，并且本金是5,000,000EUR，所以合约为投资者带来的收益是5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. 但是注意到这里的收益是发生在合约到期时的收益，而 Mark – to-Market Value要求的是当前时刻的收益，所以我们还要对G20,000进行折现，折现的期限就是3个月。在本题中，收益是以GBP形式表现的，所以折现利率应该选用GBP的3个月的利率水平。于是得到GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04 按照公式，不是汇率的买卖，不是乘小除大么？

2024-07-14 00:39 1 · 回答

NO.PZ202106160100000104问题如下 Baseon Exhibits 1, 2, an3, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G19,971.B.G20,500.C.G21,968. A is correct.Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.9467/0.9471, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.9471+ (15/10000) = 0.9486. Golworthy solEUR 5,000,000 0.9526 anbought 0.9486. The net cash flow the settlement te will equEUR 5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. This cash flow will occur in three months, so we scount the three-month GLibor rate of 58 bps:GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04考点Mark –to-Market Value解析计算Market-to-Market Value的方法就是在当前时刻签订一笔反向对冲合约。投资者在6个月前先签订了一份长达9个月的合约，这份合约准许投资人以GBP/EUR=0.9526的价格卖出EUR.现在过去6个月的时间，该份合约还剩3个月到期，那么我们在当前时候就要签订一份时长为3个月的买EUR的合约。注意到表二中提供了3个月的汇率远升水情况。据此，我们可以求得未来三个月的远期汇率，由于反向对冲合约是在未来3个月买入EUR,所以要求ALER的卖价，即ASK:0.9471 + (15/10000) = 0.9486投资者以0.9486的价格买入EUR,并且以0.9526的价格卖出EUR，并且本金是5,000,000EUR，所以合约为投资者带来的收益是5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. 但是注意到这里的收益是发生在合约到期时的收益，而 Mark – to-Market Value要求的是当前时刻的收益，所以我们还要对G20,000进行折现，折现的期限就是3个月。在本题中，收益是以GBP形式表现的，所以折现利率应该选用GBP的3个月的利率水平。于是得到GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04 这个不是反向forwar，为什么不用中间价来计算，而要用ask price

2024-05-01 15:06 1 · 回答

NO.PZ202106160100000104 问题如下 Baseon Exhibits 1, 2, an3, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G19,971. B.G20,500. C.G21,968. A is correct.Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.9467/0.9471, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.9471+ (15/10000) = 0.9486. Golworthy solEUR 5,000,000 0.9526 anbought 0.9486. The net cash flow the settlement te will equEUR 5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. This cash flow will occur in three months, so we scount the three-month GLibor rate of 58 bps:GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04考点Mark –to-Market Value解析计算Market-to-Market Value的方法就是在当前时刻签订一笔反向对冲合约。投资者在6个月前先签订了一份长达9个月的合约，这份合约准许投资人以GBP/EUR=0.9526的价格卖出EUR.现在过去6个月的时间，该份合约还剩3个月到期，那么我们在当前时候就要签订一份时长为3个月的买EUR的合约。注意到表二中提供了3个月的汇率远升水情况。据此，我们可以求得未来三个月的远期汇率，由于反向对冲合约是在未来3个月买入EUR,所以要求ALER的卖价，即ASK:0.9471 + (15/10000) = 0.9486投资者以0.9486的价格买入EUR,并且以0.9526的价格卖出EUR，并且本金是5,000,000EUR，所以合约为投资者带来的收益是5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. 但是注意到这里的收益是发生在合约到期时的收益，而 Mark – to-Market Value要求的是当前时刻的收益，所以我们还要对G20,000进行折现，折现的期限就是3个月。在本题中，收益是以GBP形式表现的，所以折现利率应该选用GBP的3个月的利率水平。于是得到GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04 我的理解是3个月后G会收到一笔EUR并且想换成GBP所以6个月前才签立了9个月forwar那现在再买3个月forwar向对冲的话，之后收到的这笔EUR不就没有对冲掉，违反了初衷，并且也没有计算这部分损益

2024-03-06 10:45 1 · 回答

NO.PZ202106160100000104 问题如下 Baseon Exhibits 1, 2, an3, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G19,971. B.G20,500. C.G21,968. A is correct.Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.9467/0.9471, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.9471+ (15/10000) = 0.9486. Golworthy solEUR 5,000,000 0.9526 anbought 0.9486. The net cash flow the settlement te will equEUR 5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. This cash flow will occur in three months, so we scount the three-month GLibor rate of 58 bps:GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04考点Mark –to-Market Value解析计算Market-to-Market Value的方法就是在当前时刻签订一笔反向对冲合约。投资者在6个月前先签订了一份长达9个月的合约，这份合约准许投资人以GBP/EUR=0.9526的价格卖出EUR.现在过去6个月的时间，该份合约还剩3个月到期，那么我们在当前时候就要签订一份时长为3个月的买EUR的合约。注意到表二中提供了3个月的汇率远升水情况。据此，我们可以求得未来三个月的远期汇率，由于反向对冲合约是在未来3个月买入EUR,所以要求ALER的卖价，即ASK:0.9471 + (15/10000) = 0.9486投资者以0.9486的价格买入EUR,并且以0.9526的价格卖出EUR，并且本金是5,000,000EUR，所以合约为投资者带来的收益是5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. 但是注意到这里的收益是发生在合约到期时的收益，而 Mark – to-Market Value要求的是当前时刻的收益，所以我们还要对G20,000进行折现，折现的期限就是3个月。在本题中，收益是以GBP形式表现的，所以折现利率应该选用GBP的3个月的利率水平。于是得到GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04 rt，是不是所有利率给出来都是年华的

2023-11-13 17:37 1 · 回答

NO.PZ202106160100000104 问题如下 Baseon Exhibits 1, 2, an3, the mark-to-market gain for Golworthy’s forwarposition is closest to: A.G19,971. B.G20,500. C.G21,968. A is correct.Marking her nine-month contrato market six months later requires buying GBP/EUR three months forwar The GBP/EUR spot rate is 0.9467/0.9471, anthe three-month forwarpoints are 14.0/15.0. The three-month forwarrate to use is 0.9471+ (15/10000) = 0.9486. Golworthy solEUR 5,000,000 0.9526 anbought 0.9486. The net cash flow the settlement te will equEUR 5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. This cash flow will occur in three months, so we scount the three-month GLibor rate of 58 bps:GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04考点Mark –to-Market Value解析计算Market-to-Market Value的方法就是在当前时刻签订一笔反向对冲合约。投资者在6个月前先签订了一份长达9个月的合约，这份合约准许投资人以GBP/EUR=0.9526的价格卖出EUR.现在过去6个月的时间，该份合约还剩3个月到期，那么我们在当前时候就要签订一份时长为3个月的买EUR的合约。注意到表二中提供了3个月的汇率远升水情况。据此，我们可以求得未来三个月的远期汇率，由于反向对冲合约是在未来3个月买入EUR,所以要求ALER的卖价，即ASK:0.9471 + (15/10000) = 0.9486投资者以0.9486的价格买入EUR,并且以0.9526的价格卖出EUR，并且本金是5,000,000EUR，所以合约为投资者带来的收益是5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000. 但是注意到这里的收益是发生在合约到期时的收益，而 Mark – to-Market Value要求的是当前时刻的收益，所以我们还要对G20,000进行折现，折现的期限就是3个月。在本题中，收益是以GBP形式表现的，所以折现利率应该选用GBP的3个月的利率水平。于是得到GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.041+0.0058[90/360]GBP20,000=GBP19,971.04 投资者以0.9486的价格买入EUR,并且以0.9526的价格卖出EUR，并且本金是5,000,000EUR，所以合约为投资者带来的收益是5,000,000 × (0.9526 – 0.9486) GBP/EUR = G20,000.老师，这里2000的单位怎么判定是EUR还是GBP,可以帮我捋一下逻辑吗？

2023-11-07 09:50 1 · 回答

关于签订3 month forward contract buy EUR的疑问

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