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Darkblanca · 2024年02月07日

这道题提问下面的回答让我看到了敷衍

  1. CFA III
  2. Derivative

NO.PZ2022123002000002

问题如下：

Rosario Delgado is an investment manager in Spain. Delgado’s client, Max Rivera, seeks assistance with his well-diversified investment portfolio denominated in US dollars.

Rivera’s reporting currency is the euro, and he is concerned about his US dollar exposure. His portfolio IPS requires monthly rebalancing, at a minimum. The portfolio’s market value is USD2.5 million. Given Rivera’s risk aversion, Delgado is considering a monthly hedge using either a one-month forward contract or one-month futures contract.

Assume Rivera’s portfolio was perfectly hedged. It is now time to rebalance the portfolio and roll the currency hedge forward one month. The relevant data for rebalancing are provided in Exhibit 1.


Calculate the net cash flow (in euros) to maintain the desired hedge. Show your calculations.

选项：

解释：

Correct Answer:

When hedging one month ago, Delgado would have sold USD2,500,000 one month forward against the euro. Now, with the US dollar-denominated portfolio increasing in value to USD2,650,000, a mismatched FX swap is needed to settle the initial expiring forward contract and establish a new hedge given the higher market value of the US dollar-denominated portfolio.

To calculate the net cash flow (in euros) to maintain the desired hedge, the following steps are necessary:

1. Buy USD2,500,000 at the spot rate. Buying US dollars against the euro means selling euros, which is the base currency in the EUR/USD spot rate. Therefore, the offer side of the market must be used to calculate the outflow in euros.

USD2,500,000 × 0.8876 = EUR2,219,000.

2. Sell USD2,650,000 at the spot rate adjusted for the one-month forward points (all-in forward rate). Selling the US dollar against the euro means buying euros, which is the base currency in the EUR/USD spot rate. Therefore, the bid side of the market must be used to calculate the inflow in euros.

All-in forward rate = 0.8875 + (20/10,000) = 0.8895.

USD2,650,000 × 0.8895 = EUR2,357,175.

3. Therefore, the net cash flow is equal to EUR2,357,175 – EUR2,219,000, which is equal to EUR138,175.

真的很敷衍，说有勘误又不改答案，问了正确的计算过程应该是怎样的，几个回答都是复制粘贴的一模一样的文字根本没正面回答，服了

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1 个答案

pzqa35 · 2024年02月07日

嗨，从没放弃的小努力你好：


这道题是一个比较特殊的题，这道题问的是一个net cash flow。因为这个是一个课后题，因此协会给出的参考答案就是这样的。

题目中的本币为欧元，因此对于拥有的2.5m的美元资产需要进行外汇风险的hedge，且采用的是forward进行动态对冲，那么在0时刻需要short 一个2.5m的forward，到1时刻再重新调整hedge时，我们首先需要结束掉0时刻的forward，也就是在现货市场上买2.5m的美元，同时开始一个新的short 2.65m的forward。那么现金流主要就是买美元支付的现金流=USD2,500,000 × 0.8876 = EUR2,219,000，同时short一个新的forward获得的现金流USD2,650,000 × 【0.8875 + (20/10,000)】 = EUR2,357,175，那么最终的net cash flow=EUR2,357,175 – EUR2,219,000= EUR138,175.

这道题目确实是本身存在着一定的不严谨的地方，但目前题库的答案都是协会给出的一个官方答案，老师在讲这道题的时候也说过这道题的不严谨之处，并且这种思路一般来说也不是一个常规的考核点，因此这道题我们重点掌握这个roll forward的一个过程，加深对这个过程的一个理解即可。

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努力的时光都是限量版，加油！

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