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mousesky · 2024年05月20日

这道题能麻烦助教老师讲一遍思路么？没太掌握切入点在哪里

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000401

问题如下：

1. To rebalance the SEK/GBP hedge, and assuming all instruments are based on SEK/GBP, Björk would buy:

选项：

A.

GBP 7,000,000 spot.

B.

GBP 7,000,000 forward to December 1.

C.

SEK 74,812,500 forward to December 1.

解释：

B is correct.

The GBP value of the assets has declined, and hence the hedge needs to be reduced by GBP 7,000,000. This would require buying the GBP forward to net the outstanding (short) forward contract to an amount less than GBP 100,000,000.

A is incorrect because to rebalance the hedge (reduce the net size of the short forward position) the GBP must be bought forward, not with a spot transaction.

C is incorrect because the GBP must be bought, not sold. Buying SEK against the GBP is equivalent to selling GBP. Moreover, the amount of SEK that would be sold forward (to buy GBP 7,000,000 forward) would be determined by the forward rate, not the spot rate (7,000,000 × 10.6875 = 74,812,500).

中文解析：

题干中，本币是SEK，持有外币GBP的资产，担心外币贬值，因此需要short forward on GBP，合约规模是100,000,000，到期时间是12月1号。

现在外币资产规模下降了7,000,000，因此原来的对冲头寸也需要对应的下降7,000,000.降低原来对冲头寸的方法是：签反向头寸平掉7,000,000的头寸。

之前是short forward 头寸，到期时间是12月1号，反向头寸需要long forward，合约规模是7,000,000，到期时间应该和原来的合约到期时间一样也是12月1号，因此选B。

RT

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pzqa31 · 2024年05月21日

嗨，努力学习的PZer你好：


这道题的意思是：Rika Björk这个人管理着一家大型的投资基金项目，这个基金使用瑞典克朗（SEK）作为报告货币（此处可以得知本币是SEK）。然后她现在管理着英镑GBP计价的资产，并且用100millionGBP的forward合约做了hedge (汇率表达形式是SEK/GBP,当前汇率是10.6875)。然后这个forward合约到期日是12.1，还有好几个月才到期。但是，从这个forward生效以来，该基金的资产价值已经下降了700万GBP。因此，不需要那么多合约了，Björk希望买入forward合约进行offset。


Rika Björk这个人本币是SEK，现在有一个外币GBP的资产，因此担心外币资产贬值， short 了SEK/GBP forward，但是合约还没到期的时候，外币资产已经下降了700万GBP，所以不需要那么多的forward合约了，需要对应的平仓掉资产下降对应的那部分forward合约。

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