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2022-02-22 20:40原版書第178 ，我一直想不明白，例題Hedge2， 為平倉即期頭寸用bid, The spot leg of the swap—buying back EUR8,000,000 to settle the outstanding forward transaction—is also based on the bid rate of 10.0200. This is because Yang is selling an amount larger than EUR8,000,000 forward, and the all-in forward rate of the swap is already using the bid side of the market (as it would for a matched swap). Hence, to pick up the net increase in forward EUR sales, the dealer Yang is transacting with would price the swap so that Yang also has to use bid side of the spot quote for the spot transaction used to settle the maturing forward contract
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
開開助教
2022-02-23 15:41
該回答已被題主采納
同學(xué)你好，HKD/EUR的現(xiàn)貨的bid和ask價格是：10.0200/10.0210，平倉是賣出HKD買入EUR，1/10.0200 or 1/10.0210就是用一單位HKD可以換到的EUR數(shù)量。投資者相對dealer來說肯定是吃虧的，要選那個需要用更多HKD來換一單位EUR的價格，那么就是10.0200這個bid price。
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