问一道题

NO.PZ2018113001000091 问题如下 Bevis is a funmanager a Canaaninvestment firm. He manages a 6-month portfolio with a value of $2,000,000. Heis worrieabout the foreign exchange exposure of his portfolio of llarassets. So he plans to fully hee currenrisk with one-month forwarcontracts anust the heing ratio monthly. Now, the enof the first month, henee to make a namic austment. Relevant ta are shown in Exhibit 1:Calculate the net cash flow (in CA to maintain the sirehee. Answer:1. Buy US,000,000 the spotrate:US,000,000 × 1.2598= C2,519,600.2. Sell US,200,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate):All-in forwarrate= 1.2597 + (25/10,000) = 1.2622.US,200,000 × 1.2622= C2,776,840.3. Therefore, the net cash flow isequto C2,776,840 – C2,519,600, whiis equto CA57,240.中文解析Bevis是一个投资公司的基金经理，本币是CA管理着外币为美元的资产。他用forwar约来管理外汇风险，并且每个月动态调整一次。现在一个月过去了，美元的资产规模根据表格可知有2million增长到了2.2million。此时他需要作动态调整了第一步把原来的forwar约平仓平掉，需要在现货市场上买美元，使用的汇率是当前的汇率为1.2598（注意表格中给到的biask价格是aler的报价，我们作为交易的对手方，买美元对应的使用的是aler的ask价格，即1.2598），花掉加拿大元2,519,600.第二步重新建立一个新的一个月的forwar约，此时的合约规模是2.2million，按照将来的汇率1.26229，因此在合约到期的时候我们会通过卖掉2.2million的美元，收到加拿大元2,776,840。第三步收到的加拿大元减去付出的加拿大元就是所求了。 2个问题: 如果使用另一种namic hee的方法, short 0.2mn forwaron US计算公式是什么? 算出来的结果和本题答案不一样. 0.2 mn (1.2597+25/10000)=0.2524mn. \"乘小除大“的口诀在这里怎么不适用了? buy US 应该乘，就用小的1.2597. 理解答案的用1.2598的. 只是不懂为什么乘小除大不适用了.

NO.PZ2018113001000091 问题如下 Bevis is a funmanager a Canaaninvestment firm. He manages a 6-month portfolio with a value of $2,000,000. Heis worrieabout the foreign exchange exposure of his portfolio of llarassets. So he plans to fully hee currenrisk with one-month forwarcontracts anust the heing ratio monthly. Now, the enof the first month, henee to make a namic austment. Relevant ta are shown in Exhibit 1:Calculate the net cash flow (in CA to maintain the sirehee. Answer:1. Buy US,000,000 the spotrate:US,000,000 × 1.2598= C2,519,600.2. Sell US,200,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate):All-in forwarrate= 1.2597 + (25/10,000) = 1.2622.US,200,000 × 1.2622= C2,776,840.3. Therefore, the net cash flow isequto C2,776,840 – C2,519,600, whiis equto CA57,240.中文解析Bevis是一个投资公司的基金经理，本币是CA管理着外币为美元的资产。他用forwar约来管理外汇风险，并且每个月动态调整一次。现在一个月过去了，美元的资产规模根据表格可知有2million增长到了2.2million。此时他需要作动态调整了第一步把原来的forwar约平仓平掉，需要在现货市场上买美元，使用的汇率是当前的汇率为1.2598（注意表格中给到的biask价格是aler的报价，我们作为交易的对手方，买美元对应的使用的是aler的ask价格，即1.2598），花掉加拿大元2,519,600.第二步重新建立一个新的一个月的forwar约，此时的合约规模是2.2million，按照将来的汇率1.26229，因此在合约到期的时候我们会通过卖掉2.2million的美元，收到加拿大元2,776,840。第三步收到的加拿大元减去付出的加拿大元就是所求了。 No.PZ2018113001000091 (问答题)来源: 品职出题Bevis is a funmanager a Canainvestment firm. He manages a 6-month portfolio with a value of $2,000,000. He is worrieabout the foreign exchange exposure of his portfolio of llassets. So he plans to fully hee currenrisk with one-month forwarcontracts anaust the heing ratio monthly.Now, the enof the first month, he nee to make a namic austment. Relevant ta are shown in Exhibit 1:Calculate the net cash flow (in CA to maintain the sirehee.这里问的net cashflow应该是指the enof the first month, 因此也就只有第一份forwarcontra的gain/loss. 2.2m那个合同应该还没发生cashflow的settlement才对？答案应该是2*（1.2662-1.2598）=0.0128m CAD

NO.PZ2018113001000091问题如下 Bevis is a funmanager a Canaaninvestment firm. He manages a 6-month portfolio with a value of $2,000,000. Heis worrieabout the foreign exchange exposure of his portfolio of llarassets. So he plans to fully hee currenrisk with one-month forwarcontracts anust the heing ratio monthly. Now, the enof the first month, henee to make a namic austment. Relevant ta are shown in Exhibit 1:Calculate the net cash flow (in CA to maintain the sirehee. Answer:1. Buy US,000,000 the spotrate:US,000,000 × 1.2598= C2,519,600.2. Sell US,200,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate):All-in forwarrate= 1.2597 + (25/10,000) = 1.2622.US,200,000 × 1.2622= C2,776,840.3. Therefore, the net cash flow isequto C2,776,840 – C2,519,600, whiis equto CA57,240.中文解析Bevis是一个投资公司的基金经理，本币是CA管理着外币为美元的资产。他用forwar约来管理外汇风险，并且每个月动态调整一次。现在一个月过去了，美元的资产规模根据表格可知有2million增长到了2.2million。此时他需要作动态调整了第一步把原来的forwar约平仓平掉，需要在现货市场上买美元，使用的汇率是当前的汇率为1.2598（注意表格中给到的biask价格是aler的报价，我们作为交易的对手方，买美元对应的使用的是aler的ask价格，即1.2598），花掉加拿大元2,519,600.第二步重新建立一个新的一个月的forwar约，此时的合约规模是2.2million，按照将来的汇率1.26229，因此在合约到期的时候我们会通过卖掉2.2million的美元，收到加拿大元2,776,840。第三步收到的加拿大元减去付出的加拿大元就是所求了。 不应该是（1.2702-1.2598)*2M吗？

NO.PZ2018113001000091问题如下 Bevis is a funmanager a Canaaninvestment firm. He manages a 6-month portfolio with a value of $2,000,000. Heis worrieabout the foreign exchange exposure of his portfolio of llarassets. So he plans to fully hee currenrisk with one-month forwarcontracts anust the heing ratio monthly. Now, the enof the first month, henee to make a namic austment. Relevant ta are shown in Exhibit 1:Calculate the net cash flow (in CA to maintain the sirehee. Answer:1. Buy US,000,000 the spotrate:US,000,000 × 1.2598= C2,519,600.2. Sell US,200,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate):All-in forwarrate= 1.2597 + (25/10,000) = 1.2622.US,200,000 × 1.2622= C2,776,840.3. Therefore, the net cash flow isequto C2,776,840 – C2,519,600, whiis equto CA57,240.中文解析Bevis是一个投资公司的基金经理，本币是CA管理着外币为美元的资产。他用forwar约来管理外汇风险，并且每个月动态调整一次。现在一个月过去了，美元的资产规模根据表格可知有2million增长到了2.2million。此时他需要作动态调整了第一步把原来的forwar约平仓平掉，需要在现货市场上买美元，使用的汇率是当前的汇率为1.2598（注意表格中给到的biask价格是aler的报价，我们作为交易的对手方，买美元对应的使用的是aler的ask价格，即1.2598），花掉加拿大元2,519,600.第二步重新建立一个新的一个月的forwar约，此时的合约规模是2.2million，按照将来的汇率1.26229，因此在合约到期的时候我们会通过卖掉2.2million的美元，收到加拿大元2,776,840。第三步收到的加拿大元减去付出的加拿大元就是所求了。 为啥不能直接short200000 这样算出来的结果是252400

NO.PZ2018113001000091 问题如下 Bevis is a funmanager a Canaaninvestment firm. He manages a 6-month portfolio with a value of $2,000,000. Heis worrieabout the foreign exchange exposure of his portfolio of llarassets. So he plans to fully hee currenrisk with one-month forwarcontracts anust the heing ratio monthly. Now, the enof the first month, henee to make a namic austment. Relevant ta are shown in Exhibit 1:Calculate the net cash flow (in CA to maintain the sirehee. Answer:1. Buy US,000,000 the spotrate:US,000,000 × 1.2598= C2,519,600.2. Sell US,200,000 the spotrate austefor the one-month forwarpoints (all-in forwarrate):All-in forwarrate= 1.2597 + (25/10,000) = 1.2622.US,200,000 × 1.2622= C2,776,840.3. Therefore, the net cash flow isequto C2,776,840 – C2,519,600, whiis equto CA57,240.中文解析Bevis是一个投资公司的基金经理，本币是CA管理着外币为美元的资产。他用forwar约来管理外汇风险，并且每个月动态调整一次。现在一个月过去了，美元的资产规模根据表格可知有2million增长到了2.2million。此时他需要作动态调整了第一步把原来的forwar约平仓平掉，需要在现货市场上买美元，使用的汇率是当前的汇率为1.2598（注意表格中给到的biask价格是aler的报价，我们作为交易的对手方，买美元对应的使用的是aler的ask价格，即1.2598），花掉加拿大元2,519,600.第二步重新建立一个新的一个月的forwar约，此时的合约规模是2.2million，按照将来的汇率1.26229，因此在合约到期的时候我们会通过卖掉2.2million的美元，收到加拿大元2,776,840。第三步收到的加拿大元减去付出的加拿大元就是所求了。 根据老师上课讲的思路，1个月后变成了2200000美元，我理解应该是在1个月的时间点再补充short 200000的美元合约，就相当于long 200000 x (1.2597 + 0.0025) 的CA请问为什么这个思路不正确呢？