NO.PZ202106160100000104
问题如下:
Based on Exhibits 1, 2, and 3, the mark-to-market gain for Goldsworthy’s forward position is closest to:
选项:
A.GBP 19,971.
GBP 20,500.
GBP 21,968.
解释:
A is correct.
Marking her nine-month contract to market six months later requires buying GBP/EUR three months forward. The GBP/EUR spot rate is 0.9467/0.9471, and the three-month forward points are 14.0/15.0. The three-month forward rate to use is 0.9471+ (15/10000) = 0.9486. Goldsworthy sold EUR 5,000,000 at 0.9526 and bought at 0.9486. The net cash flow at the settlement date will equal EUR 5,000,000 × (0.9526 – 0.9486) GBP/EUR = GBP 20,000. This cash flow will occur in three months, so we discount at the three-month GBP Libor rate of 58 bps:
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DEALER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 = GBP 20,000. 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GBP 20,000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:
(0.9526 – 0.9486),关于谁减谁,我搞不懂,有什么方法吗?