问一道题：NO.PZ2018091706000044

NO.PZ2018091706000044问题如下Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to:A.US324.B.US-323.64.C.US323.64. 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US即在合约到期时公司要以1.5512USGBP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US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 USGBP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 = 324US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US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 到底用哪个价格？之前有道题说合约到期结算用中间价，这里求value又用biask价格，很困惑

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. 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US即在合约到期时公司要以1.5512USGBP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US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 USGBP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 = 324US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US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 我了解一个forwarcontramark to market的价值是靠选一个反向对冲的合约然后计算原来合约的价值，但是这里这个原来的合约本来就是用来对冲汇率风险的，又来一个合约对冲了这个合约，那之前那个GBP的payment的汇率风险不就还存在吗。。。感觉这题的叙述有点奇怪。。。

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. 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US即在合约到期时公司要以1.5512USGBP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US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 USGBP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 = 324US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US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 看完老师的视频是理解也会画图的，也知道在到期时间要用反向对冲协议，但是用哪种标价货币就是很容易搞混，是因为题目是第一份合约卖出G，买入US所以都用US做标价货币吗

NO.PZ2018091706000044 问题如下 Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to: A.US324. B.US-323.64. C.US323.64. 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US即在合约到期时公司要以1.5512USGBP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US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 USGBP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 = 324US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US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 如题

NO.PZ2018091706000044问题如下Bfirm is Americcompany anexportesteel to a firm whiis in Englan For some reasons, Bwill receive the payment of 3,600,000 Gin six months anthe firm woulchange these poun into llars. To hee the currenrisk, Benters a 6 month forwarcontrato solG1.5512USGBPThree months passe Now, the spot exchange market rate is 1.5500 USGfor bian1.5505 for ask .The firm collects the forwarrates an90-y Libor in the following tables:Accorng to the above information, the mark-to-market value for BBC’s forwarposition is closest to:A.US324.B.US-323.64.C.US323.64. 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US即在合约到期时公司要以1.5512USGBP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US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 USGBP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 = 324US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US所以折现时候需要使用US3个月利率水平。即US3241+0.0045(90/360)=US323.64\frac{UStext{ 324}}{1+0.0045{(90/360)}}=UStext{ }323.641+0.0045(90/360)US324​=US323.64 然后S是3个月时Spot的价格1.5505 求得6个月时点的F 这个F不等于1.55111，这是为什么呢？