题目题干都不写清楚

NO.PZ2022123002000020 问题如下 Gehlot asks Chlapowski toprovi input regarng foreign exchange management. Chlapowski presents spotanforwarrates in Exhibit 3. She also states:Statement 1: A positive roll yielcoulcreatein ng’s portfolio byselling a USEUR forwarcontract.Statement 2: A positive roll yielcoulcreatein ng’s portfolio byselling a CHF/USforwarcontract.Exhibit 3 Spot anForwarRatesIntify whiofChlapowski’s statements is most likely to correbaseon the informationproviin Exhibit 3. Calculate the forwarpremium or scount foreastatement. CorreAnswer: Statement 1 iscorrect.ng’s portfoliois 45% investein Germassets. USEUR is selling a forwarpremium of 5.3%compareto the current spot rate. ng csell the base currena higherpriththe current spot rate, creating a positive roll yielForwarpremium =(1.2/1.14) – 1 = 5.3%Statement 2 is incorrect.CHF/USis not inrequote format, so the quote must converteinto a requote to calculateforwarpremium or scount.USCHF spot rate= 0.99USCHF six-monthforwarrate = 0.952USCHF is tranga scount of 3.83% anselling CHF woulcreate a negative roll yielforng’s portfolio.Forwarscount =(0.952/0.99) – 1 = 3.83% 视频讲解中，老师直接把Short CHF/US汇率形式改成了USCHF，以符合投资人持有的是CHF资产。但Short CHF/USforwarcontract是在未来按照一定的汇率卖出US同时买入CHF），那应该等价于Long USCHF forwarcontract，在未来按照一定的汇率买入CHF（同时卖出US。如果上面所说的对的，那题目中的人持有的是CHF资产，但是hee的时候交易错方向了。转换成U/CHF的格式，就是Long CHF forwaragainst USlong forwarroll yiel（S0-F)/S0=(1/1.01-1/1.05)/(1/1.01)=3.81%，结果变成了收益。而且即便不通过上面的转换，直接看题干，Spot rate1.01CHF/USForwar.05CHF/US同时还是short (CHF/US，怎么看都是收益。

NO.PZ2022123002000020 问题如下 Gehlot asks Chlapowski toprovi input regarng foreign exchange management. Chlapowski presents spotanforwarrates in Exhibit 3. She also states:Statement 1: A positive roll yielcoulcreatein ng’s portfolio byselling a USEUR forwarcontract.Statement 2: A positive roll yielcoulcreatein ng’s portfolio byselling a CHF/USforwarcontract.Exhibit 3 Spot anForwarRatesIntify whiofChlapowski’s statements is most likely to correbaseon the informationproviin Exhibit 3. Calculate the forwarpremium or scount foreastatement. CorreAnswer: Statement 1 iscorrect.ng’s portfoliois 45% investein Germassets. USEUR is selling a forwarpremium of 5.3%compareto the current spot rate. ng csell the base currena higherpriththe current spot rate, creating a positive roll yielForwarpremium =(1.2/1.14) – 1 = 5.3%Statement 2 is incorrect.CHF/USis not inrequote format, so the quote must converteinto a requote to calculateforwarpremium or scount.USCHF spot rate= 0.99USCHF six-monthforwarrate = 0.952USCHF is tranga scount of 3.83% anselling CHF woulcreate a negative roll yielforng’s portfolio.Forwarscount =(0.952/0.99) – 1 = 3.83% 所以Statement 2里面应该是Sell USCHF，对吗？这样才可以判断出statement 2 incorrect。

NO.PZ2022123002000020 问题如下 Gehlot asks Chlapowski toprovi input regarng foreign exchange management. Chlapowski presents spotanforwarrates in Exhibit 3. She also states:Statement 1: A positive roll yielcoulcreatein ng’s portfolio byselling a USEUR forwarcontract.Statement 2: A positive roll yielcoulcreatein ng’s portfolio byselling a CHF/USforwarcontract.Exhibit 3 Spot anForwarRatesIntify whiofChlapowski’s statements is most likely to correbaseon the informationproviin Exhibit 3. Calculate the forwarpremium or scount foreastatement. CorreAnswer: Statement 1 iscorrect.ng’s portfoliois 45% investein Germassets. USEUR is selling a forwarpremium of 5.3%compareto the current spot rate. ng csell the base currena higherpriththe current spot rate, creating a positive roll yielForwarpremium =(1.2/1.14) – 1 = 5.3%Statement 2 is incorrect.CHF/USis not inrequote format, so the quote must converteinto a requote to calculateforwarpremium or scount.USCHF spot rate= 0.99USCHF six-monthforwarrate = 0.952USCHF is tranga scount of 3.83% anselling CHF woulcreate a negative roll yielforng’s portfolio.Forwarscount =(0.952/0.99) – 1 = 3.83% 第2个statement的答案和题目的数据不一致，第2个statement应该也是correct