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dejiazheng · 2025年06月19日

看了前述解释,还是不理解为什么一开始是空头头寸,需要反向建立多头对冲

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NO.PZ202208160100000204

问题如下:

Based on the data in Exhibits 1 and 2, the mark-to-market value for Nexran’s forward position related to the oil field construction equipment order is closest to:

选项:

A.USD874,000. B.USD877,674. C.USD871,690.

解释:

Solution

C is correct.

  1. Nexran sold EUR20 million forward to the settlement date at 1.1716 (USD/EUR).

  2. To mark the position to market, Nexran offsets the forward transaction by buying EUR 20 million six months forward to the settlement date.

  3. For the offsetting forward contract, because the EUR is the base currency in the USD/EUR quote, buying EUR forward means paying the offer for both the spot rate and forward points.

    1. The all-in six-month forward rate is calculated as 1.1243 + 0.0036 = 1.1279 USD/EUR.

    2. This rate gives a net cash flow on settlement day of EUR20,000,000 × (1.1716 – 1.1279) USD/EUR = 20,000,000 × 0.0437 = USD874,000. (This amount is a cash inflow because the EUR depreciated against the USD.)

  4. To determine the mark-to-market value of the original forward position, calculate the present value of the USD cash inflow using the six-month USD discount rate: USD874,000/[1 + 0.0053(180/360)] = USD871,690.

A is incorrect. The present value of the cash flow was not calculated (step 4 of calculation).

B is incorrect. The cash flow was calculated using the bid rate instead of the offer rate.

  1. The all-in six-month forward rate = 1.1241 + 0.0035 = 1.1276

  2. This gives a net cash flow on settlement day of 20,000,000EUR × (1.1716 – 1.1276) USD/EUR = USD880,000, and the present value is calculated as USD880,000/[1 + 0.0053(180/360)] = USD877,674.

中文解析:

C是正确的。

Nexran以1.1716(美元/欧元)的价格卖出了2000万欧元。

为了将头寸按市场计价,Nexran通过在结算日之前6个月购买2000万欧元来抵消远期交易。

对于抵销远期合约,由于欧元是美元/欧元报价中的基础货币,因此购买远期欧元意味着同时支付即期汇率和远期点的报价。

6个月远期利率合计为1.1243 + 0.0036 = 1.1279美元/欧元。

按此利率计算,结算日的净现金流为欧元2000万×(1.1716 - 1.1279)美元/欧元= 2000万× 0.0437 = 87.4万美元。(这一数额是现金流入,因为欧元对美元贬值。)

为了确定原始远期头寸的市值,使用六个月美元贴现率计算美元现金流入的现值:874,000美元/[1 + 0.0053(180/360)]= 871,690美元。

A是不正确的。没有计算现金流的现值(计算的第4步)。

选项B不正确。现金流是用买入价而不是卖出价来计算的。

6个月远期利率= 1.1241 + 0.0035 = 1.1276

由此得出结算日现金流净额为2000万欧元×(1.1716 - 1.1276)美元/欧元= 88万美元,现值为88万美元/[1 + 0.0053(180/360)]= 877,674美元。

针对前述答复从这句话推断出来一开始卖出EUR forward:我们可以看出,一位欧洲客户采购了2000万欧元的设备(6个月前订购,1年后付款),这就意味着公司在6个月后,会有了一笔2000万外汇多头。那么想要用forward对冲,就要做空6个月期限的(base currency为欧元)forward合约。


个人理解:6个月前客户已建立多头,因为题目说了未来1年内客户需要2000万欧元以用作支付款项,所以初始头寸应该是买入欧元,为什么是卖出欧元呢?作为对冲应建立空头头寸(卖出EUR),因此对冲头寸对应的应该是BID价格。恳请老师再结合题目指教

1 个答案

笛子_品职助教 · 2025年06月20日

嗨,努力学习的PZer你好:


个人理解:6个月前客户已建立多头,因为题目说了未来1年内客户需要2000万欧元以用作支付款项,所以初始头寸应该是买入欧元,为什么是卖出欧元呢?作为对冲应建立空头头寸(卖出EUR),因此对冲头寸对应的应该是BID价格。恳请老师再结合题目指教

Nexran是卖设备的,Nexran的客户是买设备的。

Nexran会在6个月后收到2000万欧元,而不是支付2000万欧元。

题目问的是Nexran怎么对冲,不是Nexran的客户怎么对冲。

Nexran在6个月后会收到2000万欧元,说明Nexran相当于有欧元多头,因为欧元贬值会让Nexran亏损。

Nexran的初始对冲,是做空欧元Forward。

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2025-05-07 21:30 1 · 回答

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