NO.PZ2023041102000006
问题如下：
Anna Goldsworthy is the chief financial officer of a manufacturing firm headquartered in the United Kingdom. Goldsworthy gathers the exchange rates from Dealer A in Exhibit 1.
In three months, the firm will receive EUR 5,000,000 (euros) from another customer. Six months ago, the firm sold EUR 5,000,000 against the GBP using a nine-month forward contract at an all-in price of GBP/EUR 0.7400. To mark the position to market, Underwood collects the GBP/EUR forward rates in Exhibit 2.
Based on Exhibits 1, 2, the mark-to-market gain for Goldsworthy’s forward position is closest to:
选项：
A.GBP 20,470. B.GBP 20,500. C.GBP 21,968.解释：
Marking her nine-month contract to market six months later requires buying GBP/EUR three months forward. The GBP/EUR spot rate is 0.7342/0.7344, and the three-month forward points are 14.0/15.0. The three-month forward rate to use is 0.7344 + (15/10000) = 0.7359. Goldsworthy sold EUR 5,000,000 at 0.7400 and bought at 0.7359. The net cash flow at the settlement date will equal EUR 5,000,000 × (0.7400 – 0.7359) GBP/EUR = GBP 20,500. This cash flow will occur in three months, so we discount at the three-month GBP Libor rate of 58 bps:
6个月后将她的9个月合约与市场挂钩，需要买入英镑/欧元3个月的元气合约。英镑兑欧元即期汇率为0.7342/0.7344，三个月远期汇率的点数为14.0/15.0。三个月远期汇率为0.7344 +(15/10000)= 0.7359。Goldsworthy在0.7400卖出500万欧元，在0.7359买入。结算日的净现金流量将等于500万欧元×(0.7400 - 0.7359)英镑/欧元= 20,500英镑。这笔现金流将在三个月后发生，因此我们以三个月期英镑伦敦银行同业拆借利率58个基点进行贴现得到:
如题
