Q.
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.
Exhibit 1:
Portfolio and Relevant Market Data
Solution
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 USD/EUR spot rate. Therefore, the bid side of the market must be used to calculate the outflow in euros. USD2,500,000 / 1.1575 = EUR2,159,827.
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 USD/EUR spot rate. Therefore, the offer side of the market must be used to calculate the inflow in euros. All-in forward rate = 1.1576 + (7/10,000) = 1.1583USD2,650,000 / 1.1583 = EUR2,287,836.
C. Therefore, the net cash flow is equal to EUR2,287,836 – EUR2,159,827 which is equal to EUR128,009.
请问为什么第二步的时候用的是all in forward rate而不是spot rate呢？不应该按照现在的汇率交易求sell USD 2.65mil 所能获得的EUR？
