问一道题：NO.PZ2018091706000059

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）？

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 想问一下合同的到期日为什么使用汇率的中间价来计算 1.4940 不应该是 之前卖了CHF 现在买入CHF 不应该以ask pri买入嘛 还有以后遇到这种题怎么区分 什么时候按照biask汇率计算什么时候按照中间汇率、

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？

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 老师我想问下，这道题我不太理解这个1.4940是哪里来的，这个不是一个人用spot rate去减掉6个月的basis point来调整吗，因为我理解的时间轴是1-6个月，然后他说又要rollover 1 个六个月的合约，所以等于又要6个月，能不能下这道题。谢谢

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 一开始就没明白，根据基础课的内容，sell CHF against GBP不是卖CHF换GBP，所以应该都是以CHF为单位么？可是题里给的全都是以GBP为单位？忽略问题一的话，我理解这道题是给了180天的远期卖出价格1.4850，然后又给了180天的现价买入价1.4941，所以应该是亏损的，而且不用折现。老师您看我是哪里理解错了？