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徐威廉 · 2022年05月30日

翻译问题

NO.PZ2018111501000022

问题如下:

Testa acquired a Spanish packaging company. The Spanish investment involved Testa acquiring 200,000 shares of a packaging company at EUR90 per share. He decided to fully hedge the position with a six month USD/EUR forward contract. Details of the euro hedge at initiation and three months later are provided in Exhibit 1.

Exhibit 1 2009 Spot and Forward USD/EUR Quotes (Bid-Oer) and Annualized Libor Rates

Using Exhibit 1, if the Spanish shares had been sold after three monthshow would the manager do to close the initial transaction?

选项:

A.

Sell EUR 18 million at spot.

B.

Sell EUR 18 million three months forward.

C.

Buy EUR 18 million three months forward.

解释:

C is correct.

考点:Mark-to-market value of Forward Contract

解析:

Testa现在持有18m的欧元股票,本币是USD,外币是EUR。

0时刻:持有外币EUR资产,担心外币EUR贬值,因此short forward on USD/EUR,期限为6个月,合约规模是18million。

3个月:这些欧元的股票被卖掉了,因此之前在0时刻签订的期限为6个月的forward合约,现在用不到了,需要平仓平掉,因此需要签反向头寸进行平仓。

又因为之前的合约还剩下3个月到期,因此我们的反向头寸的合约期限也应该是3个月,面值也仍然是18million。因此我们需要long 3个月到期的规模为18million的forward合约,选C。

”Testa acquired a Spanish packaging company. The Spanish investment involved Testa acquiring 200,000 shares of a packaging company at EUR90 per share.“翻译为特斯拉收购了一家西班牙包装公司。这项西班牙投资涉及了特斯拉用20万份额 每股 90欧元的价格。 这理解应该就是6个月以后要付欧元,所以应该是long 的头寸啊,3个月后反向平仓再short 3 个月 eur

1 个答案
已采纳答案

Hertz_品职助教 · 2022年05月31日

嗨,努力学习的PZer你好:


同学你好

Testa收购了西班牙的一家公司,因此持有了18million的欧元资产。

注意,因为持有外币欧元资产,所以是担心将来6个月结束的时候欧元的汇率跌了,因为欧元跌了的话转成的本币美元就少了,所以担心外币贬值应该是short forward on欧元,不是long forward头寸哈。

结果呢三个月的时候这些股票卖掉了,所以原来的那个forward头寸没有用了,需要平仓,因此就是long forward on 欧元

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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