No.PZ2021052001000046
来源:
A Swiss based fund has long equity position in US stocks. The currency exposure is hedged with six-month forward contracts. Spot and forward market currency information for USD is provided in Exhibit 1.
If the forward rate premium/discount is 45 basis points, determine whether it would be appropriate to hedge the currency exposure, and calculate the hedged profit.
老师，您好，这是押题班A卷第一题第二问，我的回答是;
if the forward rate is 0.9330+0.0045=0.9375, he should hedge, profit=0.9375/0.9330-0.9300/0.9330=0.8%
hedge profit 的公式是什么？我认为应该是hedge后的除以不hedge的数值才对吧？
