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alexanderwang · 2024年09月25日

前面几位同学问了,但是还是没理解

NO.PZ2018091706000059

问题如下:

Six months ago, a dealer sold CHF 1 million forward against the GBP for a 180-day term at an all-in rate of 1.4850 (CHF/GBP). Today, the dealer wants to roll this position forward 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 the CHF/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


之前几位同学问题关于为什么买入CHF为什么用中间价,之前老师的回答是:

“可以看出,今天是forward的到期日,到期就需要结算,结算价是中间价”。


我想说的是这个计算结算日的利润是多少,应该用【6个月前签的forward结算拿到的GBP】和【新签的FX SWAP买入CHF花出去的GBP】做差得到。

而6个月签的forward的价格,题目已经给了1.4850,同学应该不会纠结这个问题。


前面几位同学包括我,不理解的是,为什么新签FX swap要用中间价,并且不考虑加上forward rate,用spot rate做平均。因为新签FX SWAP的时候,是买入CHF,用ask的价格。

此时是否用中间价,和老师之前回答的forword到期日结算这个事情,我理解是不相干的,这是两份合约。


所以总结下来,问题变为新签的FX SWAP:

1、为什么用中间价而不是ask的价格;

2、为什么不用加上forward rate,而用spot rate。


谢谢老师


1 个答案

笛子_品职助教 · 2024年09月25日

嗨,努力学习的PZer你好:


所以总结下来,问题变为新签的FX SWAP:

Hello,亲爱的同学~

题目问的是旧合约的利润是多少。

题目里虽然有roll的操作,但题目问题并不涉及新签的forward。


为什么用中间价而不是ask的价格

这里有个知识点,同学记忆一下。

1)合约到期结算,用中间价。

2)合约未到期,提前平仓,用ask或bid。

本题6个月前开的合约,期限6个月,今日到期,属于情形1),因此用中间价。


为什么不用加上forward rate,而用spot rate。

旧合约到期结算,用spot rate中间价。

至于同学说的新签的合约,是用新签合约的价格,新签合约的价格并不一定是spot rate的中间价。



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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 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

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2024-07-31 12:23 1 · 回答

解析错误 卖出669,344.04英镑(1,000,000英镑/1.4940)这里应该是1m瑞郎/1.4940吧?

2024-07-19 19:37 1 · 回答

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2024-07-08 21:21 2 · 回答