问一道题：NO.PZ201601050100000303 第3小题 [ CFA III ]

NO.PZ201601050100000303 问题如下 3. Whiof the following market velopments woulmost favorable for Subscriber 3's trang plan? A.A narrower interest rate fferential. B.A higher forwarpremium for INR/US C.Higher volatility in INR/USspot rate movements. B is correct.Subscriber 3's carry tra strategy is equivalent to trang the forwarrate bias, baseon the historicevinththe forwarrate is not the center of the stribution for the spot rate. Applying this biinvolves buying currencies selling a forwarscount anselling currencies trang a forwarpremium. So a higher forwarpremium on the lower yielng currency—the US the base currenin the INR/USquote—wouleffectively reflea more profitable trang opportunity. This, a higher premium for buying or selling the USforwaris associatewith a lower US interest rate compareto InThis woulmea wir interest rate fferentiin favor of Ininstruments, anhenpotentially more carry tra profits.A is incorrebecause Subscriber 3's carry tra strategy pen on a wi interest rate fferentibetween the high-yielcountry (Inanthe low-yielcountry (the UniteStates). The fferentishoulwi enough to compensate for the unheecurrenrisk exposure.C is incorrebecause a gui to the carry tra‘s riskiness is the volatility of spot rates on the involvecurrencies, with rapimovements in exchange rates often associatewith a panickeunwinng of carry tras. All things being equal, higher volatility is worse for carry tras.中文解析Bhigher forwarpremium或者表述为larger forwarpremium，是两国利差变大的意思，所以在carry tra中看到这个表述就直接等同为两国利差变大。可以从下面这个角度来理解（1）我们可以用covereinterest rate parity（抛补的利率平价公式）来，根据. covereinterest rate parityF/S0=(1+r_A)/(1+r_(汇率标价形式为A/B); 其中r_A r_所以F S0（借A投B）。（2）得到F S0，又因为标价形式是A/B，可得高利率的货币B将来是贬值的（因为F S0），因此利率高的货币叫做forwarscount currency，而利率低的货币A就会升值，叫做 forwarpremium currency。（3）所以，如果F/S0=(1+r_A)/(1+r_B)这个公式中r_A r_B的程度越大，就说明F S的程度越大，对应的低利率货币A就会有更大的forwarpremium。而r_A r_B程度越大，就说明二者的利差越大2. 执行carry tra的条件有二，一是两国利差大，二是汇率变化很小。因此A和C的表述是错误的 答案是large forwarpremiun on the US这道题首先borrow的是US 投资的是印度资产，到期的时候一定要把印度的资产换成US资产，如果US大幅升值,未来将会直接导致亏损，怎么还有有利呢。

NO.PZ201601050100000303问题如下3. Whiof the following market velopments woulmost favorable for Subscriber 3's trang plan?A.A narrower interest rate fferential.B.A higher forwarpremium for INR/USC.Higher volatility in INR/USspot rate movements. B is correct.Subscriber 3's carry tra strategy is equivalent to trang the forwarrate bias, baseon the historicevinththe forwarrate is not the center of the stribution for the spot rate. Applying this biinvolves buying currencies selling a forwarscount anselling currencies trang a forwarpremium. So a higher forwarpremium on the lower yielng currency—the US the base currenin the INR/USquote—wouleffectively reflea more profitable trang opportunity. This, a higher premium for buying or selling the USforwaris associatewith a lower US interest rate compareto InThis woulmea wir interest rate fferentiin favor of Ininstruments, anhenpotentially more carry tra profits.A is incorrebecause Subscriber 3's carry tra strategy pen on a wi interest rate fferentibetween the high-yielcountry (Inanthe low-yielcountry (the UniteStates). The fferentishoulwi enough to compensate for the unheecurrenrisk exposure.C is incorrebecause a gui to the carry tra‘s riskiness is the volatility of spot rates on the involvecurrencies, with rapimovements in exchange rates often associatewith a panickeunwinng of carry tras. All things being equal, higher volatility is worse for carry tras.中文解析Bhigher forwarpremium或者表述为larger forwarpremium，是两国利差变大的意思，所以在carry tra中看到这个表述就直接等同为两国利差变大。可以从下面这个角度来理解（1）我们可以用covereinterest rate parity（抛补的利率平价公式）来，根据. covereinterest rate parityF/S0=(1+r_A)/(1+r_(汇率标价形式为A/B); 其中r_A r_所以F S0（借A投B）。（2）得到F S0，又因为标价形式是A/B，可得高利率的货币B将来是贬值的（因为F S0），因此利率高的货币叫做forwarscount currency，而利率低的货币A就会升值，叫做 forwarpremium currency。（3）所以，如果F/S0=(1+r_A)/(1+r_B)这个公式中r_A r_B的程度越大，就说明F S的程度越大，对应的低利率货币A就会有更大的forwarpremium。而r_A r_B程度越大，就说明二者的利差越大2. 执行carry tra的条件有二，一是两国利差大，二是汇率变化很小。因此A和C的表述是错误的 明白老师说的larger forwarpremium 等于利差大的这个点但针对这题衍生出来的问题这里carry tra中 有forwarpremium的currency应该是US对吧。另外就是如果说一对currenpair （INR/UShlarger forwarpremium 指的是哪个currency？

NO.PZ201601050100000303问题如下 3. Whiof the following market velopments woulmost favorable for Subscriber 3's trang plan?A.A narrower interest rate fferential.B.A higher forwarpremium for INR/USC.Higher volatility in INR/USspot rate movements. B is correct.Subscriber 3's carry tra strategy is equivalent to trang the forwarrate bias, baseon the historicevinththe forwarrate is not the center of the stribution for the spot rate. Applying this biinvolves buying currencies selling a forwarscount anselling currencies trang a forwarpremium. So a higher forwarpremium on the lower yielng currency—the US the base currenin the INR/USquote—wouleffectively reflea more profitable trang opportunity. This, a higher premium for buying or selling the USforwaris associatewith a lower US interest rate compareto InThis woulmea wir interest rate fferentiin favor of Ininstruments, anhenpotentially more carry tra profits.A is incorrebecause Subscriber 3's carry tra strategy pen on a wi interest rate fferentibetween the high-yielcountry (Inanthe low-yielcountry (the UniteStates). The fferentishoulwi enough to compensate for the unheecurrenrisk exposure.C is incorrebecause a gui to the carry tra‘s riskiness is the volatility of spot rates on the involvecurrencies, with rapimovements in exchange rates often associatewith a panickeunwinng of carry tras. All things being equal, higher volatility is worse for carry tras.中文解析Bhigher forwarpremium或者表述为larger forwarpremium，是两国利差变大的意思，所以在carry tra中看到这个表述就直接等同为两国利差变大。可以从下面这个角度来理解（1）我们可以用covereinterest rate parity（抛补的利率平价公式）来，根据. covereinterest rate parityF/S0=(1+r_A)/(1+r_(汇率标价形式为A/B); 其中r_A r_所以F S0（借A投B）。（2）得到F S0，又因为标价形式是A/B，可得高利率的货币B将来是贬值的（因为F S0），因此利率高的货币叫做forwarscount currency，而利率低的货币A就会升值，叫做 forwarpremium currency。（3）所以，如果F/S0=(1+r_A)/(1+r_B)这个公式中r_A r_B的程度越大，就说明F S的程度越大，对应的低利率货币A就会有更大的forwarpremium。而r_A r_B程度越大，就说明二者的利差越大2. 执行carry tra的条件有二，一是两国利差大，二是汇率变化很小。因此A和C的表述是错误的 不对啊，专门讲过roll yiel这b不就导致roll yiel小于0么，那这样成本就变大了不是不利么

NO.PZ201601050100000303 问题如下 3. Whiof the following market velopments woulmost favorable for Subscriber 3's trang plan? A.A narrower interest rate fferential. B.A higher forwarpremium for INR/US C.Higher volatility in INR/USspot rate movements. B is correct.Subscriber 3's carry tra strategy is equivalent to trang the forwarrate bias, baseon the historicevinththe forwarrate is not the center of the stribution for the spot rate. Applying this biinvolves buying currencies selling a forwarscount anselling currencies trang a forwarpremium. So a higher forwarpremium on the lower yielng currency—the US the base currenin the INR/USquote—wouleffectively reflea more profitable trang opportunity. This, a higher premium for buying or selling the USforwaris associatewith a lower US interest rate compareto InThis woulmea wir interest rate fferentiin favor of Ininstruments, anhenpotentially more carry tra profits.A is incorrebecause Subscriber 3's carry tra strategy pen on a wi interest rate fferentibetween the high-yielcountry (Inanthe low-yielcountry (the UniteStates). The fferentishoulwi enough to compensate for the unheecurrenrisk exposure.C is incorrebecause a gui to the carry tra‘s riskiness is the volatility of spot rates on the involvecurrencies, with rapimovements in exchange rates often associatewith a panickeunwinng of carry tras. All things being equal, higher volatility is worse for carry tras.中文解析Bhigher forwarpremium或者表述为larger forwarpremium，是两国利差变大的意思，所以在carry tra中看到这个表述就直接等同为两国利差变大。可以从下面这个角度来理解（1）我们可以用covereinterest rate parity（抛补的利率平价公式）来，根据. covereinterest rate parityF/S0=(1+r_A)/(1+r_(汇率标价形式为A/B); 其中r_A r_所以F S0（借A投B）。（2）得到F S0，又因为标价形式是A/B，可得高利率的货币B将来是贬值的（因为F S0），因此利率高的货币叫做forwarscount currency，而利率低的货币A就会升值，叫做 forwarpremium currency。（3）所以，如果F/S0=(1+r_A)/(1+r_B)这个公式中r_A r_B的程度越大，就说明F S的程度越大，对应的低利率货币A就会有更大的forwarpremium。而r_A r_B程度越大，就说明二者的利差越大2. 执行carry tra的条件有二，一是两国利差大，二是汇率变化很小。因此A和C的表述是错误的 B答案A higher forwarpremium for INR/US代表F S，则未来US升值，如果它在US钱，未来要还的钱更多，这不是个好事情，所以不应该选择B？

NO.PZ201601050100000303 当前印度利率大于美国，所以借美元投卢布，如果利差变大，卢布bon值，同时还有外汇损失，对套利不利，所以应该选A