《Financial Markets and Products》精选题解析I

时间：2017-11-02 16:06 作者：FRM考试网来源：原创

A US based automobile dealer enters into a foreign exchange contract to hedge an obligation of EUR 1 million payable in 3 months.The dealer received the following quotes from a large international bank(quotes are USD per EUR).

Assuming the dealer fully hedges the obligation,what is the payoff on the hedge,using the 3-month forward,if the spot rate ends up at USD 1.23 per EUR three months from now?

A.USD-40,000

B.USD-20,000

C.USD 20,000

D.USD 40,000

自己先做~

做完之后滑这儿，就能对答案

Answer:A

The dealer needs to hedge an obligation of EUR 1 million payable in 3 months.It should long forward contract to hedge with 1.27 offer price.

Long 3-month forward:-1.27

Now:1.23

The payoff is:(1.23–1.27)×1000,000=-40,000

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《Financial Markets and Products》精选题解析I

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