问一道题：NO.PZ2018091706000044

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 我以为是30/90，能一下吗，谢谢老师

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 每次做题的时候有点分不清，有没有什么好的记忆方法呢？

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 请解惑，谢谢

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 想问一下汇率的计算保留小数点后面几位数 像是这道题3个月的ask price即期汇率是1.5505 USG加上3个月的升水的幅度 所以在三个月这个时候重新签订的反向合约的forwarrate=1.5505+0.00061=1.55111 我计算的时候保留了小数点后面四位 1.5511代入的计算（ 1.5512-1.5511）*3600000得到了不同的结果 所以想问一下 计算的时候保留小数点后面几位数算的准确

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. C is correct.考点Mark –to-Market Value 解析BBQ公司进入了一份时长6个月的外汇合约。它担心卖出GBP贬值，所以该合约是卖GBP买US即在合约到期时公司要以1.5512USGBP的价格卖出GBP。现在过去三个月，那么截止当前，该合约还剩3个月到期。由于3个月后公司需要进入一份与期初头寸相反的对冲合约来结束期初的合约，所以那时BBQ应该买入GBP，卖出US买入GBP就需要以做市商的卖价（ask）买入。所以我们求得未来3个月 USGBP的市场报价。即1.5505 +0.00061=1.55111。由于买价是1.55111，卖价是1.5512。所以3,600,000 GBP的本金在合约到期时的利润就是（1.5512-1.55111）×3,600,000 = 324US但是这个数值是到期时合约的价值,我们对其往前折现3个月才能求得合约在当前的价值。本题中的标价货币是US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 这里的mark-to-market value是否和衍生品里的value意思不同？我理解的mark-to-market value是以期末反向头寸平仓的价值折现来计算衍生品如forwarvalue，则是用同方向头寸比较，如t=3时间点重新签一份新的同方向合约，然后重新定价法算出value