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Spencer · 2022年11月15日

老师请问这题如何区分本币和外币呢

NO.PZ2018111501000022

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-Oer) and Annualized Libor Rates

Using Exhibit 1, if the Spanish shares had been sold after three monthshow would the manager do to close the initial transaction?

选项:

A.

Sell EUR 18 million at spot.

B.

Sell EUR 18 million three months forward.

C.

Buy EUR 18 million three months forward.

解释:

C is correct.

考点:Mark-to-market value of Forward Contract

解析:

Testa现在持有18m的欧元股票,本币是USD,外币是EUR。

0时刻:持有外币EUR资产,担心外币EUR贬值,因此short forward on USD/EUR,期限为6个月,合约规模是18million。

3个月:这些欧元的股票被卖掉了,因此之前在0时刻签订的期限为6个月的forward合约,现在用不到了,需要平仓平掉,因此需要签反向头寸进行平仓。

又因为之前的合约还剩下3个月到期,因此我们的反向头寸的合约期限也应该是3个月,面值也仍然是18million。因此我们需要long 3个月到期的规模为18million的forward合约,选C。

老师请问这题如何区分本币和外币呢?就只是根据DC/FC吗?USD/EUR

1 个答案
已采纳答案

Hertz_品职助教 · 2022年11月16日

嗨,努力学习的PZer你好:


同学你好

本题可以按照同学说的根据DC/FC的汇率表达形式来判断,但根据这种方法判断,我们也不是很放心,万一题目使坏特地写成了FC/DC的形式呢?

所以DC/FC的形式可以作为初步判断,然后我们再根据题目信息来验证一下。

同学请看题干说T这个人他收购了西班牙的公司,西班牙的币种是EUR,从这里可以看出T这个人他拥有了外币EUR资产;另外,同学看第一段的最后一句提到了“euro hedge”,这里也可以判断欧元是外币,那对应的题目中出现的另一个币种就是本币了,也就是USD是本币。

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努力的时光都是限量版,加油!

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