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marionking · 2021年06月02日

从哪句话可以确定settlement date,

NO.PZ2018091706000059

问题如下:

Six months ago, a dealer sold CHF 1 million forward against the GBP for a 180-dayterm at an all-in rate of 1.4850 (CHF/GBP). Today, the dealer wants to roll this positionforward for another six months (i.e., the dealer will use an FX swap to roll the positionforward).The following are the current spot rate and forward points being quoted for theCHF/GBP currency pair:

The cash flow that the dealer will realize on the settlement date is closest to an:


选项:

A.

inflow of GBP 4,057

B.

inflow of GBP 8,100

C.

outflow of GBP 5,422

解释:

180 days ago, the dealer sold 1 million CHF against the GBP for1.4850. Today, the dealer will have to buy CHF 1 million to settle the maturing forwardcontract, so the CHF amounts will net to zero on settlement day. Because these CHFamounts net to zero, the cash flow on settlement day is measured in GBP. The GBPamount is calculated as follows: 180 days ago, the dealer sold CHF 1 million against theGBP at a rate of 1.4850, which is equivalent to buying GBP 673,400.67(1,000,000/1.4850). That is, based on the forward contract, the dealer will receive GBP673,400.67 on settlement day. Today, the dealer is buying CHF 1 million at a spot rateof 1.4940 (the mid-market spot rate, because this is an FX swap). This transaction isequivalent to selling GBP 669,344.04 (1,000,000/1.4940). That is, based on the spottransaction, the dealer will pay out GBP 669,344.04 on settlement day. Combining thesetwo legs of the swap transaction, we have:

(1,000,000/1.4850)- (1,000,000/1.4940) = GBP 4,056.63

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(100/1.4850)。也就是说,根据远期合同,经销商在结算日收到GBP 673,400.67。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


题目中说在说到期后要在roll six month ,那settlement date 的exchange rate 不是应该用1.4939-0.0056来换算么?为什么直接用了1.4940?不太明白。

1 个答案

丹丹_品职答疑助手 · 2021年06月02日

嗨,从没放弃的小努力你好:


同学你好,注意到题干中提及使用的swap对冲,mid price来标价可以作为小知识点记一下同学

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

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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 雖然不影響答題 但為何用中間利率 而不是ask price

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