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Darkblanca · 2023年12月10日

If the 2009 forward hedge had been rolled forward at its maturiy

NO.PZ2022123002000019

问题如下:

Testa acquired a Spanish packaging company. The Spanish investment involved Testa acquiring 200,000 shares of a packaging company at EUR90 per share. He decided to fully hedge the position with a six month USD/EUR forward contract. Details of the euro hedge at initiation and three months later are provided in Exhibit 1. Three months after the purchase, the shares had increased to EUR100 each, but Testa, believing that a still higher price was likely, maintained the position. He also indicated that he did not anticipate having to roll the hedge forward at its maturity.

Exhibit 1 2009 Spot and Forward USD/EUR Quotes (Bid-Offer) and Annualized Libor Rates

If the 2009 forward hedge had been rolled forward at its maturity, using Exhibit 1, the roll yield would most likely have been:

选项:

A.

negative, but the currency change made it less negative

B.

positive, but the currency change reduced some of this effect

C.

negative, and the currency change made it even more negative

解释:

Correct Answer: C

In implementing the hedge, euros (the base currency) must be sold against the US dollar. The base currency is selling at a discount and thus would “roll up the curve” as the contract approaches maturity. Settlement of the forward contract would entail buying euros at a higher price—that is, selling low and buying high—resulting in a negative roll yield. Since the euro has appreciated by the time the hedge needs to be extended, this tends to further increase the cost of euros to settle the original contract and makes the roll yield even more negative—that is, sell low, buy even higher.

这个提问明明是forward在6个月到期的时候去roll,为什么答案在解释三个月的时候去roll?

1 个答案

pzqa31 · 2023年12月11日

嗨,爱思考的PZer你好:


这道题的答案分成两个部分,第一部分问的就是到期时的roll yield:


0时刻:

T同学签的是6个月的远期合约,且是short 头寸,因此计算roll yield=F-S/S=(1.3916-1.3935)/1.3935=-19bp/1.3935=-0.001363;


在3个月的时间点:

想再roll 进一份新的forward合约,这需要两步,一是签发反向对冲合约把之前的6个月的forward合约平仓平掉,二是再签一份新的forward合约,新的合约仍然是short头寸,roll yield =(1.4106-21.6bp-1.4106)/1.4106=-21.6bp/1.4106=-0.001531


具体到选项:

1. 一开始计算的 roll yield是针对的在0时刻签订的6个月的那份forward合约,rollyield的计算公式为F-S/S=(1.3916-1.3935)/1.3935=-19bp/1.3935=-0.001363< 0.

(所以选项前半部分就是常规的一个计算roll yield,short forward公式是F-S/S

2. 选项后半部分中的Currency change指的是欧元和美元之间的汇率变化,根据表格数据可以看到欧元是在升值的。

然后看一下问题,问题问的重点是问roll yield是怎样的,一是判断一开始的正负问题,上面“1”中咱们已经判断了哈;选项后半部分是说欧元升值的这种汇率变化使得这个roll yield变得怎样了。


根据上面“1”中的计算可以看到,roll yield是更加负的(-0.001531< -0.001363)

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