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胖干儿 · 2024年01月15日

中文解析里的这句话是什么意思呢?

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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。

“现在美元存在远期溢价,即F>S,所以short forward on EUR/USD的头寸。”

这句话是什么意思呢?为什么美元存在forward premium,就要short EUR/USD?

1 个答案

pzqa31 · 2024年01月15日

嗨,从没放弃的小努力你好:


不是,这句话的意思是现在美元存在远期溢价,所以这个short forward头寸的roll yield是正的,不是说存在溢价就要去short forward.

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

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