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ruby5ltc · 2023年01月01日

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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.

B.

GBP 20,500.

C.

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:

GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=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:

GBP20,0001+0.0058[90/360]=GBP19,971.04\frac{GBP20,000}{1+0.0058\lbrack90/360\rbrack}=GBP19,971.04

(0.9526 – 0.9486),关于谁减谁,我搞不懂,有什么方法吗?

1 个答案

笛子_品职助教 · 2023年01月01日

嗨,爱思考的PZer你好:


(0.9526 – 0.9486),关于谁减谁,我搞不懂,有什么方法吗?

是有方法的,这个方法就是看题目中的描述。

我们看这道题:

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。这个买价是ASK:0.9471 + (15/10000) = 0.9486。


那么我们就知道:投资者以0.9486的价格买入EUR,并且以0.9526的价格卖出EUR。

所以在计算利润的时候,是以(0.9526 – 0.9486)。


外汇可能比较复杂,同学就想象买了1只股票。

同学的买入价格是0.9486元,同学的卖出价格是0.9526元。因此同学赚了0.9526-0.9486,这个利润是3个月后的利润,折现到现在就可以了。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

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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?

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2024-05-01 15:06 1 · 回答

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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