【FRM每日一题】一级：估值与风险模型
备考FRM一级 | 2015-10-29
A Canadian-based tire company is due a $2,500,000 SGD payment from its Singapore-based distributor in two months. The firm prepares to use a forward contract priced at $0.80 CAD/SGD to hedge the exchange rate risk. If the Singapore dollar depreciates over the next two months to a spot rate of $0.73 CAD/SCD, how much more or less will the firm receive in Canadian dollars by hedging, versus an unhedged position?A. $175,000 CAD more.
B. $175,000 CAD less.
C. $70,000 CAD more.
D. $29,167 SGD less.
Answer: A
Hedged position: $250,000 SGD×$0.80 CAD/SGD = $200,000 CAD
Unhedged position: $250,000×$0.73 CAD/SGD =$182,500 CAD
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