NO.PZ2018113001000091
问题如下:
Bevis is a fund manager at a Canadian
investment firm. He manages a 6-month portfolio with a value of $2,000,000. He
is worried about the foreign exchange exposure of his portfolio of dollar
assets. So he plans to fully hedge currency risk with one-month forward contracts and
adjust the hedging ratio monthly.
Now, at the end of the first month, he
needs to make a dynamic adjustment. Relevant data are shown in Exhibit 1:
Calculate the net cash flow (in CAD) to maintain the desired hedge.
解释:
Answer:
1.
Buy USD2,000,000 at the spot
rate:
USD2,000,000 × 1.2598
= CAD 2,519,600.
2.
Sell USD2,200,000 at the spot
rate adjusted for the one-month forward points (all-in forward rate):
All-in forward rate
= 1.2597 + (25/10,000) = 1.2622.
USD2,200,000 × 1.2622
= CAD 2,776,840.
3.
Therefore, the net cash flow is
equal to CAD 2,776,840 – CAD 2,519,600, which is equal to CAD257,240.
中文解析:
Bevis是一个投资公司的基金经理,本币是CAD,管理着外币为美元的资产。他用forward合约来管理外汇风险,并且每个月动态调整一次。
现在一个月过去了,美元的资产规模根据表格可知有2million增长到了2.2million。此时他需要作动态调整了:
第一步:把原来的forward合约平仓平掉,需要在现货市场上买美元,使用的汇率是当前的汇率为1.2598(注意表格中给到的bid-ask价格是dealer的报价,我们作为交易的对手方,买美元对应的使用的是dealer的ask价格,即1.2598),花掉加拿大元2,519,600.
第二步:重新建立一个新的一个月的forward合约,此时的合约规模是2.2million,按照将来的汇率1.26229,因此在合约到期的时候我们会通过卖掉2.2million的美元,收到加拿大元2,776,840。
第三步:收到的加拿大元减去付出的加拿大元就是所求了。
老师,在today这个时点,上个月的合约已结束,平仓产生的损益才是现金流啊?答案的解释不是很懂 另外,roll yield这个概念也比较迷惑,在today节点,平仓原合约,roll进新合约,roll return=F-S,但F本身并不产生现金流啊,为什么会有收益?这个时候不考虑平仓产生的损益吗?