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sion · 2025年03月24日

不是乘小除大吗

* 问题详情,请 查看题干

NO.PZ202204250100000303

问题如下:

C. Construct a three-month currency swap trade to hedge Queensland’s INR exposure. Calculate the all-in forward rate for the forward leg of the swap.

选项:

解释:

The India asset value has increased by 5%: INR 60,000,000 * (1 + 0.05) = INR 63,000,000

Thus, the size of the hedge should be increased from INR 60 million to INR 63 million when rolling over the futures contract using a currency swap.

Sebastian should use a mismatched swap, buying INR 60,000,000 at the spot rate (spot leg) against AUD to settle the maturing forward contract and then selling INR 63,000,000 at forward (forward leg) to increase the hedge size.

The forward leg of the swap would require selling INR 63,000,000 forward three months. Selling INR (foreign currency) is equal to buying AUD (base currency) in the INR/AUD quote.

Therefore, using offer-side forward points to calculate the three-month all-in forward rate for the forward leg of the swap:

54.84 + 80/100 = 54.84 + 0.8 = 55.64 INR/AUD

每次这种题目用哪个汇率都搞不清楚。。。老师有没有好的记忆方法。

1 个答案

李坏_品职助教 · 2025年03月24日

嗨,爱思考的PZer你好:


本题的AUD是本币,INR是外币。但是报价单位是INR/AUD,这里是把AUD作为base。


所以你在表格里看到的价格数据,都是以AUD作为base,是AUD的报价。Swap里面的 forward leg是需要卖出INR,那也就是买入AUD。既然是买入AUD,只能按照更贵的成本去买入,所以是用更高的spot price 54.84 + 更高的forward points 0.8 = 54.84 + 0.8 = 55.64 INR/AUD

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