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zhou8888 · 2023年02月07日

有点迷

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NO.PZ202208100100000403

问题如下:

Using Exhibit 1, if the Spanish shares had been sold after three months, the cash outflow (in US dollars) required to close out the forward contract would have been closest to:

选项:

A.489,182.00 B.489,850.00 C.491,400.00

解释:

B is correct.

The initial foreign asset position was EUR18 million: 200,000 shares × EUR90/share. The six-month forward contract would have been sold using the bid of the base currency (euro) at an all-in forward rate of 1.3935 – 19/10,000 = 1.3916 USD/EUR.

If the position had been closed in three months, a three-month forward contract would have to be purchased at the offer of the base currency at an all-in forward rate of 1.4210 – 21/10,000 = 1.4189 USD/EUR.

The cash outflow at settlement would have been EUR18 million × (1.4189 – 1.3916) USD/EUR = USD491,400. This amount needs to be discounted by three months at the US dollar Libor rate: 491,400/(1 + 0.01266 × 90/360) = USD489,850.

A is incorrect. The euro Libor rate is used to discount the settlement cash flow: 491,400/(1 + 0.01814 × 90/360) = USD489,182.

中文解析:

初始的外币资产头寸是18million的欧元(0.2million股*90欧元/股)。

因此一开始需要short forward on 欧元,期限是6个月,对应的远期汇率是1.3935 – 19/10,000 = 1.3916 USD/EUR。(此合约在到期的时候是卖欧元,收到美元)

那现在3个月的时候股票被卖掉了,所以原来的6个月期限的合约用不到了,需要平仓平掉。签反向对冲合约:long forward on欧元,期限是3个月,对应的远期汇率是1.4210 – 21/10,000 = 1.4189 USD/EUR。(此合约到期的时候是买欧元,支付美元)

那么在到期的时候(也就是再过3个月后),对应的cash outflow就是EUR18 million×(1.41891.3916)USD/EUR = USD491,400。

但现在是站在3时刻,因此需要在到期时候的金额USD491,400向前折现3个月,即:491,400/(1 + 0.01266 × 90/360) = USD489,850。

C is incorrect. It uses the settlement cash flow, ignoring any discounting: USD491,400.Solution

签新的forward难道不是要以新的股价100 去short更多的欧元吗?

1 个答案

lynn_品职助教 · 2023年02月08日

嗨,从没放弃的小努力你好:


签新的forward难道不是要以新的股价100 去short更多的欧元吗?


原文中这句话“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.”的意思是:

在西班牙的投资中,Testa以每股90欧元的价格收购了一家包装公司的20万股股票。他决定用六个月美元/欧元远期合约完全对冲头寸。

 

注意这里是已经收购了这家公司,所以得到了20万股的股票,每股90欧元,就是说持有了18million的外币股票资产。


现在3个月的时候股票被卖掉了,所以原来的6个月期限的合约用不到了,需要平仓平掉。签反向对冲合约:long forward on欧元,期限是3个月,对应的远期汇率是1.4210 – 21/10,000 = 1.4189 USD/EUR。(此合约到期的时候是买欧元,支付美元)


不涉及新的股价哦。

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