静同学2023-11-13 10:53:01
静同学老师 这种题目还是不会 grand是收港币支欧元吧，答案为什么是用欧元减港币呢。焦虑
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Evian, CFA2023-11-15 10:53:30
Evian, CFAヾ(◍°∇°◍)ﾉﾞ你好同学，
Grand需要借入欧元在德国用于运营的，但是他希望找到一种成本更低的融资方式。
所以才建议他进入一个货币互换，在互换合约中：
期初先去借入成本低的港币 ：HK$285,500,000，并且按照期初的汇率付给对手€250，000，00欧元。所以这个人后期要支付港币借款的利息，然后收取欧元€利息，最后期末再还HK$港币本金，并收回欧元€本金。
题目（如下截图红色）里面说的borrow HKD可以理解为currency swap期初t=0的本金互换的一部分，借入HK$本金收到HK$本金的现金流。
这个题目确实容易让人迷惑
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把题目给你，省你去官网重新找题目
问题如下：
Whitney meets with Grand Manufacturing. This client is based in Hong Kong but requires a €25,000,000 one-year bridge loan to fund operations in Germany. Grand Manufacturing is currently able to borrow euros at an interest rate of 3.75% but wonders if there is a less expensive alternative. Whitney advises Grand to borrow in HK$ and enter into a one-year foreign currency swap with quarterly payments to receive euros at a fixed rate and pay HK$ at a fixed rate. The current exchange rate is HK$11.42 per €1, and the notional amounts will be exchanged at initiation and at maturity.The annualized rate is 2.3181% for Euros and 1.8550% for HK$.
Ninety days have passed since Whitney’s initial meetings, and in the interim interest rates have increased dramatically. Whitney’s clients have asked to meet with her to review their positions.
In order to prepare for the meeting, Whitney has obtained updated interest rate data that is presented in Exhibit 2.
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Note: Euribor is Euro Interbank Offered Rate. Hibor is the Hong Kong Interbank Offered Rate. All rates shown are annualized
Using the data in Exhibit 2, the market value of Grand Manufacturing’s swap after 90 days is closest to:
选项：
A.–€4,103,142
B.€2,701,178
C.–€3,625,900
解释：
Grand borrows HK$285,500,000 and exchanges it for €25,000,000 based on the initial exchange rate of HK$11.42 per euro.
Grand will pay an interest rate of 1.8550% on the borrowed HK dollars and earn 2.3181% on the lent/invested euros.
Ninety days into the swap, the exchange rate is HK$9.96, and the PV factors are:
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