NO.PZ2022123002000001
问题如下：
Testa acquired a Spanish
packaging company. 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. Details of the euro hedge
at initiation and three months later are provided in Exhibit 1.
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:
(2019 mock PM)
选项：
A.489,182
489,850
491,400
解释：
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.
这题用的是哪一个公式？为什么用到Spot rates？
强化讲义上算mark-to-market是直接用FPt和FP的，这里的交易具体是怎么做的，为什么需要用到spot rates
