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toffee · 2023年05月18日

这样写可以把?

* 问题详情,请 查看题干

NO.PZ201601050100001503

问题如下:

Identify two strategies Delgado should use to earn a positive roll yield. Describe the specific steps needed to execute each strategy.


选项:

解释:


Given that the base currency (the US dollar) is trading at a forward premium, the hedge requires the sale of US dollar forward, resulting in a positive roll yield. The concept of roll yield is very similar to forward rate bias and the carry trade. Here, Delgado is suggesting a strategy to pursue when there is a negative roll yield, because a hedger trading against the forward bias would be buying US dollars at a forward premium instead of selling them. The carry trade strategy of borrowing in low-yield currencies and investing in high-yield currencies is equivalent to trading the forward rate bias, not against it.

中文解析:

基于整个题干的背景可知:本币是EUR,外币是USD。因此担心外币贬值,需要short forward on EUR/USD(也就是解析里面说的base currency应该是USD)

现在美元存在远期溢价,即F>S,所以short forward on EUR/USD的头寸,计算roll yield=F-S/S也会有正的收益。

另外因为美元的利率低于欧元的利率,可以执行carry trade策略,借低利率货币投资于高利率货币,其中低利率货币又叫做forward premium currency,高利率货币又叫做forward discount currency。

1、carry trade

financing from US with lower interest rates,investing to Spanish asset with higher interest rate.

2、forward rate bias trading

sell US dollar with  forward premium

buy Spanish asset with forward discount

1 个答案

pzqa31 · 2023年05月19日

嗨,努力学习的PZer你好:


不行,首先要写完整句子,而且不能只写结论,要写证据+解释

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