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succi_z · 2023年02月16日

问一道题

NO.PZ2018091706000059

问题如下:

Six months ago, a dealer sold CHF 1 million forward against the GBP for a 180-dayterm at an all-in rate of 1.4850 (CHF/GBP). Today, the dealer wants to roll this positionforward for another six months (i.e., the dealer will use an FX swap to roll the positionforward).The following are the current spot rate and forward points being quoted for theCHF/GBP currency pair:

The cash flow that the dealer will realize on the settlement date is closest to an:


选项:

A.

inflow of GBP 4,057

B.

inflow of GBP 8,100

C.

outflow of GBP 5,422

解释:

180 days ago, the dealer sold 1 million CHF against the GBP for1.4850. Today, the dealer will have to buy CHF 1 million to settle the maturing forwardcontract, so the CHF amounts will net to zero on settlement day. Because these CHFamounts net to zero, the cash flow on settlement day is measured in GBP. The GBPamount is calculated as follows: 180 days ago, the dealer sold CHF 1 million against theGBP at a rate of 1.4850, which is equivalent to buying GBP 673,400.67(1,000,000/1.4850). That is, based on the forward contract, the dealer will receive GBP673,400.67 on settlement day. Today, the dealer is buying CHF 1 million at a spot rateof 1.4940 (the mid-market spot rate, because this is an FX swap). This transaction isequivalent to selling GBP 669,344.04 (1,000,000/1.4940). That is, based on the spottransaction, the dealer will pay out GBP 669,344.04 on settlement day. Combining thesetwo legs of the swap transaction, we have:

(1,000,000/1.4850)- (1,000,000/1.4940) = GBP 4,056.63

解析:180天前,该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在,经销商必须购买100万瑞士法郎来结算到期的远期合约,那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零,所以结算日的现金流以英镑计算。英镑金额计算如下:180天前,经销商以1.4850的汇率卖出100万瑞郎兑1英镑,相当于买入673,400.67英镑(100/1.4850)。也就是说,根据远期合同,经销商在结算日收到GBP 673,400.67。今天,该交易商以1.4940瑞郎的即期利率(中间市场即期利率,因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说,基于现货交易,该交易商将在结算日支付669,344.04英镑。清算这两部分,可以得到:

(1000000/1.4850)-(1000000/1.4940)= 4056 .63英镑


老师,您好,这道题如果是没到期,以CHF/GBP报价,在settlement date,我们选择的汇率应是bid还是ask的价格?应该选CHF/GBP bid的价格吧?
3 个答案

笛子_品职助教 · 2023年02月19日

嗨,从没放弃的小努力你好:


所以 其实是选择CHF/GBP的bid价格求倒数,理解正确吗?


同学理解正确哦。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2023年02月17日

嗨,从没放弃的小努力你好:


可是我们提前平仓,是买入CHF吧?报价是CHF/GBP,是除法,相当于卖出GBP,也就是CHF/GBP的bid/ask求倒数,变成1/ask / 1/bid GBP/CHF,这样理解吧?我不知道我有没有表达清楚我的疑问。


Hello,亲爱的同学!

同学表达得很清楚了,可以这么理解。

我们说买入要使用ask价,这个前提是,汇率是:price currency/base currency,这种表达方式。

所以我们首先要把这道题的汇率倒过来,这道题给的是CHF/GBP,我们要先计算出GBP /CHF ,然后用GBP/CHF的ask价。

同学理解正确。


----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

succi_z · 2023年02月17日

所以 其实是选择CHF/GBP的bid价格求倒数,理解正确吗?

笛子_品职助教 · 2023年02月17日

嗨,努力学习的PZer你好:


老师,您好,这道题如果是没到期,以CHF/GBP报价,在settlement date,我们选择的汇率应是bid还是ask的价格?应该选CHF/GBP bid的价格吧?


如果没到期。则看买卖方向。

如果我们买入,用ask价格。

如果我们卖出,用bid价格。


在本题,一开始是做空forward,如果提前平仓,是买入,买入用ask价。



----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

succi_z · 2023年02月17日

可是我们提前平仓,是买入CHF吧?报价是CHF/GBP,是除法,相当于卖出GBP,也就是CHF/GBP的bid/ask求倒数,变成1/ask / 1/bid GBP/CHF,这样理解吧?我不知道我有没有表达清楚我的疑问。

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NO.PZ2018091706000059 问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前,该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在,经销商必须购买100万瑞士法郎来结算到期的远期合约,那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零,所以结算日的现金流以英镑计算。英镑金额计算如下:180天前,经销商以1.4850的汇率卖出100万瑞郎兑1英镑,相当于买入673,400.67英镑(100万/1.4850)。也就是说,根据远期合同,经销商在结算日收到G673,400.67。今天,该交易商以1.4940瑞郎的即期利率(中间市场即期利率,因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说,基于现货交易,该交易商将在结算日支付669,344.04英镑。清算这两部分,可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 雖然不影響答題 但為何用中間利率 而不是ask price

2024-11-05 23:45 1 · 回答

NO.PZ2018091706000059 问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前,该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在,经销商必须购买100万瑞士法郎来结算到期的远期合约,那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零,所以结算日的现金流以英镑计算。英镑金额计算如下:180天前,经销商以1.4850的汇率卖出100万瑞郎兑1英镑,相当于买入673,400.67英镑(100万/1.4850)。也就是说,根据远期合同,经销商在结算日收到G673,400.67。今天,该交易商以1.4940瑞郎的即期利率(中间市场即期利率,因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说,基于现货交易,该交易商将在结算日支付669,344.04英镑。清算这两部分,可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 到期日是默認用平均價來平倉嗎?假如到期日平倉答完這個題,roll forwaranother 6 months 應該要怎麼理解呢?

2024-11-01 10:55 1 · 回答

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2024-09-25 00:21 1 · 回答

NO.PZ2018091706000059 问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前,该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在,经销商必须购买100万瑞士法郎来结算到期的远期合约,那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零,所以结算日的现金流以英镑计算。英镑金额计算如下:180天前,经销商以1.4850的汇率卖出100万瑞郎兑1英镑,相当于买入673,400.67英镑(100万/1.4850)。也就是说,根据远期合同,经销商在结算日收到G673,400.67。今天,该交易商以1.4940瑞郎的即期利率(中间市场即期利率,因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说,基于现货交易,该交易商将在结算日支付669,344.04英镑。清算这两部分,可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 为什么这个时候买入是中间价,而不是用银行的卖出价(ask)?

2024-08-30 21:15 1 · 回答

NO.PZ2018091706000059 问题如下 Six months ago, a aler solCHF 1 million forwargainst the Gfor a 180-y term all-in rate of 1.4850 (CHF/GBP). Toy,the aler wants to roll this position forwarfor another six months (i.e., thealer will use FX swto roll the positionforwar.The following are thecurrent spot rate anforwarpoints being quotefor the CHF/Gcurrenpair:The cash flow ththe aler will realize onthe settlement te is closest to an: inflowof G4,057 inflowof G8,100 outflowof G5,422 180ys ago, the aler sol1 million CHF against the Gfor1.4850. Toy, thealer will have to buy CHF 1 million to settle the maturing forwarontract,so the CHF amounts will net to zero on settlement y. Because these CHFamountsnet to zero, the cash flow on settlement y is measurein GBP. The GBPamountis calculatefollows: 180 ys ago, the aler solCHF 1 million againsttheGa rate of 1.4850, whiis equivalent to buying GBP673,400.67(1,000,000/1.4850). This, baseon the forwarcontract, thealer will receive GBP673,400.67 on settlement y. Toy, the aler isbuying CHF 1 million a spot rateof 1.4940 (the mimarket spot rate, becausethis is FX swap). This transaction isequivalent to selling G669,344.04(1,000,000/1.4940). This, baseon the spottransaction, the aler will payout G669,344.04 on settlement y. Combining thesetwo legs of the swaptransaction, we have:(1,000,000/1.4850)-(1,000,000/1.4940) = G4,056.63 解析180天前,该交易商以1英镑兑1.4850瑞郎的价格卖出了100万瑞郎。那么现在,经销商必须购买100万瑞士法郎来结算到期的远期合约,那么结算日的瑞士法郎净额将为零。由于这些瑞士法郎的净值为零,所以结算日的现金流以英镑计算。英镑金额计算如下:180天前,经销商以1.4850的汇率卖出100万瑞郎兑1英镑,相当于买入673,400.67英镑(100万/1.4850)。也就是说,根据远期合同,经销商在结算日收到G673,400.67。今天,该交易商以1.4940瑞郎的即期利率(中间市场即期利率,因为这是一种外汇互换)买入100万瑞郎。这笔交易相当于卖出669,344.04英镑(1,000,000英镑/1.4940)。也就是说,基于现货交易,该交易商将在结算日支付669,344.04英镑。清算这两部分,可以得到: (1000000/1.4850)-(1000000/1.4940)=4056 .63英镑 想问一下合同的到期日为什么使用汇率的中间价来计算 1.4940 不应该是 之前卖了CHF 现在买入CHF 不应该以ask pri买入嘛 还有以后遇到这种题怎么区分 什么时候按照biask汇率计算什么时候按照中间汇率、

2024-07-31 12:23 1 · 回答