NO.PZ2018111501000017
问题如下:
Raymond, a US analyst, is managing a fund with EUR-denominated assets. The USD/EUR spot rate is 1.1338, one-year forward exchange rate is 1.1369, while Raymond forecasts the expected spot rate is 1.1315. Assume the fund performance is measured in USD, the roll yield is:
选项:
A.0.27%
B.-0.27%
C.-0.20%
解释:
A is correct.
考点:roll yield
解析:“Assume the fund performance is measured in USD”的意思是:衡量业绩使用的是USD,即本币是USD。
目前Raymond持有外币EUR计价的资产,将来要卖EUR,因此是short EUR forward。
short 外币EUR forward的roll yield
= F-S/S=(1.1369-1.1338)/1.1338=0.27%
我理解是short EUR forward的头寸,用(f-s)/s=roll yield 进行计算
但是说这个fund performance is measured in USD的话是否要把S 和 F转换成 EUR/USD来进行计算,如果转换了是否是变成long forward on USD的头寸
能整体梳理解释一下这道题么?谢谢