NO.PZ2018091706000044
问题如下:
BBQ firm is an American company and exported steel to a firm which is in England. For some reasons, BBQ will receive the payment of 3,600,000 GBP in six months and the firm would change these pounds into dollars. To hedge the currency risk, BBQ enters a 6 month forward contract to sold GBP at 1.5512USD/GBP
Three months passed. Now, the spot exchange market rate is 1.5500 USD/GBP for bid and 1.5505 for ask .The firm collects the forward rates and 90-Day Libor in the following tables:
According to the above information, the mark-to-market value for BBC’s forward position is closest to:
选项:
A. USD 324.
B. USD -323.64.
C. USD 323.64.
解释:
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USD,即在合约到期时公司要以1.5512USD/GBP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USD。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 USD/GBP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 = 324USD。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USD,所以折现时候需要使用USD的3个月利率水平。即
因为学过了derivatives,题目中也给了两种ccy的利率,所以我第一反应就是使用画图大法
在t=6时刻,向下箭头是3600000GBP,向上箭头是3600000*1.5512 USD
折到t=3时刻,向上箭头是(3600000*1.5512)/(1+0.45%*90/360)
向下箭头是(3600000/(1+0.6%*90/360) )*1.55 折算成USD
再用向上-向下,结果是USD6402…
请问老师我的哪一个步骤出问题了呢?感谢解答!