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Betty · 2024年06月22日

这题不是说gp sell，那hedge就应该buy?

  1. CFA III
  2. Derivative

NO.PZ2018113001000035

问题如下：

Consider a US-based VC firm that is calling down capital commitments and will receive CAD50 million in 30 days. The general partner decides to sell futures contracts to lock in the current USD/CAD rate. The hedge ratio is assumed to be equal to 1.

The price for the Canadian dollar futures contract is 0.7838 USD/CAD and the contract size of CAD100,000. To hedge its risk, the firm should:

选项：

A.

sell 500 future contracts.

B.

buy 500 future contracts.

C.

sell 50 future contracts.

解释：

A is correct.

考点：futures管理汇率风险

解析：

To hedge the risk of the Canadian dollar depreciating against the US dollar, the VC firm must sell

CAD 50,000,000/CAD 100,000=500 contracts

中文解析：

题干中说GP想通过卖出期货合约来锁定USD/CAD的汇率，加元期货的合约规模为CAD100,000。因此需要的合约份数为50millionCAD/100,000CAD=500份

这题不是说gp sell，那hedge就应该buy?

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2 个答案

pzqa31 · 2024年06月23日

嗨，从没放弃的小努力你好：


是的，题目说了已经决定sell forward了。

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pzqa31 · 2024年06月22日

嗨，从没放弃的小努力你好：


这里的意思是这家公司30天后会收到50m加币，担心到时候加币会贬值，所以要short forward on CAD.

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努力的时光都是限量版，加油！

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NO.PZ2018113001000035问题如下 Consir a US-baseVC firm thiscalling wn capitcommitments anwill receive CA0 million in 30 ys. Thegenerpartner cis to sell futures contracts to loin the currentUSCrate. The hee ratio is assumeto equto 1. The prifor the Canallarfutures contrais 0.7838 USCanthe contrasize of CA00,000. To hee its risk, the firm shoul A.sell 500 future contracts. B.buy 500 future contracts. C.sell 50 future contracts. A is correct.考点futures管理汇率风险解析To hee the risk of the Canallarpreciating against the US llar, the VC firm must sellC50,000,000/C100,000=500 contracts中文解析题干中说GP想通过卖出期货合约来锁定USCA汇率，加元期货的合约规模为CA00,000。因此需要的合约份数为50millionCA100,000CA500份 因为要收到receive C且给出的也是 USC说明该期货是真对加币的； 担心收到的货币变质 所以short USCAD

2024-06-12 15:26 2 · 回答

NO.PZ2018113001000035问题如下 Consir a US-baseVC firm thiscalling wn capitcommitments anwill receive CA0 million in 30 ys. Thegenerpartner cis to sell futures contracts to loin the currentUSCrate. The hee ratio is assumeto equto 1. The prifor the Canallarfutures contrais 0.7838 USCanthe contrasize of CA00,000. To hee its risk, the firm shoul A.sell 500 future contracts. B.buy 500 future contracts. C.sell 50 future contracts. A is correct.考点futures管理汇率风险解析To hee the risk of the Canallarpreciating against the US llar, the VC firm must sellC50,000,000/C100,000=500 contracts中文解析题干中说GP想通过卖出期货合约来锁定USCA汇率，加元期货的合约规模为CA00,000。因此需要的合约份数为50millionCA100,000CA500份 这道题为啥不考虑，30天后收到50mCA担心CA值，因为就要用更多的本币US获得CA。为啥不考虑这个因素？

2023-12-19 16:21 1 · 回答

请问一下老师，以下思路是哪里有问题？ 根据题意，=USFC=CA30天该企业会受到50m CA那么就应该担心CA值等同于担心US值，题目中标价方法为USCA所以应该long call on CA所以我选择了B

2020-07-17 23:30 1 · 回答

buy 500 future contracts. sell 50 future contracts. A is correct. 考点futures管理汇率风险 解析 To hee the risk of the Canallarpreciating against the US llar, the VC firm must sell C50,000,000/C100,000=500 contracts 和futures的price没关系吗？还有这题为啥futures没有beta啊？

2020-05-24 03:37 1 · 回答