发布时间: 2017.12.04
文章作者: 古丽
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在上一篇文章中,我们讨论了外汇远期合同、期货和期权的基础理论、优点和不足。在本文中,将以Lammer Plc作为例子,帮助大家了解:如何处理ACCA P4考试中相关的计算部分。
Example:
Hedged amount= $1,150,000 payment in five months(在五个月后付美元,即需要在五个月后买美元)
1. Forward contract hedge
The estimated five-month forward rate(to buy dollars)=$/£1.9066-
(买美元用first currency ,as the first rate is the rate to buy the first currency)
Under forward-hedge: Costs(£)=£604,341
2. Money market hedge(货币市场套期保值)
在上篇文章中没有涉及到money market hedge,在此以Lammer为例进行讲解:Lammer在5个月后会支付供应商美金,其担心是从今天到付款的时点美元相对英镑升值,而造成应付账款增加带来的损失。当预计美元会升值,Lammer 应该在今天借英镑然后在今天购买$1,150,000,并将其存上五个月。如果在这五个月中美元真的涨了,则在美元存款利息上获得的额外的收入可以弥补外汇支付上的损失。
3.Current futures
🔹Contract currency=£, Lammer will sell £s in 5 months(1st November), therefore, December futures should be sold.
🔹 Estimate lock-in rate
🔹Number of contracts=604,150÷62,500=9.67 contracts (say 9 contracts,then,under-hedging)
4. Currency options hedge
🔹As CC=pound,Lammer needs to buy Dec put options
🔹Exercise price=$/£1.9000 as the it may give the best result
1.8800-0.0296=1.8504
1.9000-0.0434=1.8566
1.9200-0.0655=1.8545
🔹Number of puts=1,150,000÷1.9000÷31,250=19.37( say 19 contracts,under-hedging)
🔹Hedged amount(£)=19X31,250=£593,750
🔹Under-hedged amount ($)=1,150,000-593,750X1.9000=$21,875
🔹Using forward for under-hedged(£)=21,875÷1.9029=£11,496
🔹Premium payable now=593,750x 0.0434÷1.9156=£13,452(注意premium报价的方法:当购买12月底过期的看跌期权,每有1英镑应该支付0.0434美元佣金。而且Lammer必须在今天购买美元去支付期权佣金,所以today’s spot buy rate is used here)
🔹Total cost=593,750+11,496+13,452=£618,698
(The related discussions please review the first article.)
考前冲刺 | 2017ACCA复习技巧及P1 12月考试重点指南
发布时间: 2017.12.04
文章作者: 古丽