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椰子皮 · 2022年08月19日

为什么不能买现货反向平仓

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000401

问题如下：

1. To rebalance the SEK/GBP hedge, and assuming all instruments are based on SEK/GBP, Björk would buy:

选项：

A.

GBP 7,000,000 spot.

B.

GBP 7,000,000 forward to December 1.

C.

SEK 74,812,500 forward to December 1.

解释：

B is correct.

The GBP value of the assets has declined, and hence the hedge needs to be reduced by GBP 7,000,000. This would require buying the GBP forward to net the outstanding (short) forward contract to an amount less than GBP 100,000,000.

A is incorrect because to rebalance the hedge (reduce the net size of the short forward position) the GBP must be bought forward, not with a spot transaction.

C is incorrect because the GBP must be bought, not sold. Buying SEK against the GBP is equivalent to selling GBP. Moreover, the amount of SEK that would be sold forward (to buy GBP 7,000,000 forward) would be determined by the forward rate, not the spot rate (7,000,000 × 10.6875 = 74,812,500).

中文解析：

题干中，本币是SEK，持有外币GBP的资产，担心外币贬值，因此需要short forward on GBP，合约规模是100,000,000，到期时间是12月1号。

现在外币资产规模下降了7,000,000，因此原来的对冲头寸也需要对应的下降7,000,000.降低原来对冲头寸的方法是：签反向头寸平掉7,000,000的头寸。

之前是short forward 头寸，到期时间是12月1号，反向头寸需要long forward，合约规模是7,000,000，到期时间应该和原来的合约到期时间一样也是12月1号，因此选B。

为何不选A，买现货平仓

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1 个答案

Hertz_品职助教 · 2022年08月20日

嗨，努力学习的PZer你好：


同学你好

1.     我们在其他题目中经常提及的“在现货市场平仓，然后再开仓”的过程，想一下都是发生在合约马上到期的时候，其中的现货市场平仓其实是在现货市场买回标的资产与对手方进行交割 (以 short forward为例哈，因为short forward约定了在合约到期的时候是要按照合约价格卖出标的资产的）所以注意合约交割是发生在到期的时候。

2.     本题中合约距离到期还有好几个月，不能发生交割，但是由于对对冲资产的规模变化，的确现在的远期合约头寸不合适了，因此只能听过签订反向合约的方式进行平仓操作。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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