题目
Six months after Hansen purchases the variance swap, the NASDAQ Index has a realized volatility of 21%. Hansen conducts research for her another trade and identifies a new six-month variance swap on the NASDAQ has a fair strike of 18%.
Michael Sebastian is a currency trader at Queensland Investments based in Melbourne, Australia. Queensland has a short position of 60,000,000 Indian rupees (INR) in an INR/AUD forward contract that is currently due. Sebastian reviews the position with Novak and informs him that the India assets under management grew by 5%. Sebastian is concerned about the INR exposure but does not have a directional view on the exchange rate movement in the INR/USD spot rate. To hedge the risk of the INR position, Novak suggests rolling the forward contract over using a three-month currency swap and presents the data in Exhibit 2. INR/AUD forward points are scaled by 100.
Exhibit 2
答案
The India asset value has increased by 5%: INR 60,000,000 * (1 + 0.05) = INR 63,000,000
Thus, the size of the hedge should be increased from INR 60 million to INR 63 million when rolling over the futures contract using a currency swap.
Sebastian should use a mismatched swap, buying INR 60,000,000 at the spot rate (spot leg) against AUD to settle the maturing forward contract and then selling INR 63,000,000 at forward (forward leg) to increase the hedge size.
The forward leg of the swap would require selling INR 63,000,000 forward three months. Selling INR (foreign currency) is equal to buying AUD (base currency) in the INR/AUD quote.
Therefore, using offer-side forward points to calculate the three-month all-in forward rate for the forward leg of the swap:
54.84 + 80/100 = 54.84 + 0.8 = 55.64 INR/AUD
这道题到底在考什么，不就是简单的吧当期汇率加上远期升贴水吗？正式考试应该不会这么考吧？
