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15288973619 · 2023年07月11日

答案不对吧

NO.PZ2022123002000002

问题如下:

Rosario Delgado is an investment manager in Spain. Delgado’s client, Max Rivera, seeks assistance with his well-diversified investment portfolio denominated in US dollars.

Rivera’s reporting currency is the euro, and he is concerned about his US dollar exposure. His portfolio IPS requires monthly rebalancing, at a minimum. The portfolio’s market value is USD2.5 million. Given Rivera’s risk aversion, Delgado is considering a monthly hedge using either a one-month forward contract or one-month futures contract.

Assume Rivera’s portfolio was perfectly hedged. It is now time to rebalance the portfolio and roll the currency hedge forward one month. The relevant data for rebalancing are provided in Exhibit 1.


Calculate the net cash flow (in euros) to maintain the desired hedge. Show your calculations.

解释:

Correct Answer:

When hedging one month ago, Delgado would have sold USD2,500,000 one month forward against the euro. Now, with the US dollar-denominated portfolio increasing in value to USD2,650,000, a mismatched FX swap is needed to settle the initial expiring forward contract and establish a new hedge given the higher market value of the US dollar-denominated portfolio.

To calculate the net cash flow (in euros) to maintain the desired hedge, the following steps are necessary:

1. Buy USD2,500,000 at the spot rate. Buying US dollars against the euro means selling euros, which is the base currency in the EUR/USD spot rate. Therefore, the offer side of the market must be used to calculate the outflow in euros.

USD2,500,000 × 0.8876 = EUR2,219,000.

2. Sell USD2,650,000 at the spot rate adjusted for the one-month forward points (all-in forward rate). Selling the US dollar against the euro means buying euros, which is the base currency in the EUR/USD spot rate. Therefore, the bid side of the market must be used to calculate the inflow in euros.

All-in forward rate = 0.8875 + (20/10,000) = 0.8895.

USD2,650,000 × 0.8895 = EUR2,357,175.

3. Therefore, the net cash flow is equal to EUR2,357,175 – EUR2,219,000, which is equal to EUR138,175.

一个月之前难道没有用远期来short eur 吗?难道不是在一个月前用0.8913+25bp=0.8938来卖出欧元避险,然后现在到了要掉期的时候了应该用0.8876把250万欧元买回来,赚15500欧元,同时远端再以0.8895卖出265万欧元吗?答案怎么能用不同时间点的现金流做加减呢?

3 个答案

Alex · 2023年07月20日

这个题目协会的官网已经勘误,可以直接参考官网最新的答案

pzqa31 · 2023年07月12日

嗨,努力学习的PZer你好:


来源我这看不到,估计是mock题,如果只是换个数字其他表述都一样,就按这道题的思路来。

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努力的时光都是限量版,加油!

pzqa31 · 2023年07月12日

嗨,从没放弃的小努力你好:


这道题目的确是有问题的,所以按理说这种有问题有争议的题目不会出现在真正的考试中。但是万一真的遇到及其相似的题目,即只有数字改变,问法和题干给的信息都相似的话,建议按照这道题的解析思路来做。

那如果与这个题目不同,是真正考察的在合约某一时刻,发生的现金流,那就按照我们正确的思路来考虑,即老合约由于马上到期因此要进行平仓会发生现金流,而新合约的现金流因为发生在新合约到期的时候就不需要考虑。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

15288973619 · 2023年07月12日

意思是遇到这种题就按答案里错的答?这题来源是?

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