开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Amelilian · 2025年02月01日

请问那个forward rate不是市场观点么,后面的expectation是个人观点么?

NO.PZ2022123002000023

问题如下:

Traldi suggests that the use of put options might be a better way to hedge currency exposure. Campos responds that there are better options-based strategies that can exploit market views and reduce hedging costs. She suggests the following strategies:

Ÿ Strategy 1. For AUD exposure, the appropriate strategy is to be long put options at a strike price of 2.1046, short put options with a strike price 2.1006, and short call options with a strike price of 2.1456.

Ÿ Strategy 2. For CHF exposure, the appropriate strategy is to be long put options at a strike price of 2.5309, short put options with a strike price 2.5049, and short call options with a strike price of 2.5669.

Is Campos most likely correct that Strategy 1 and Strategy 2 will accomplish the goals of exploiting market views and reducing hedging costs?

选项:

A.

No, she is incorrect about reducing hedging costs

B.

Yes

C.

No, she is incorrect about exploiting market views

解释:

Correct Answer: C

Campos suggests that both strategies help reduce hedging costs and allow the manager to exploit a market view. While it is true that both strategies help reduce hedging costs through premiums collected on short calls and puts, they both do not exploit the market view on the currencies, specifically, Strategy 1 does not. Exhibit 3 indicates that the expectation is for the AUD to depreciate to BRL/AUD 2.0355 and for the CHF to appreciate to BRL/CHF 2.5642. Strategy 1, the short seagull on the AUD, only provides downside protection to BRL/AUD 2.1006 (when the short put kicks in and neutralizes the hedge), not BRL/AUD 2.0355. Under Strategy 2, the expectation is for an appreciation to BRL/CHF 2.5642; here the option premium is pocketed and because the option is written with a strike of BRL/CHF 2.5669, it will expire worthless if the rate never gets to BRL/CHF 2.5669

A is incorrect. It is true that both strategies help reduce hedging costs through premiums collected on short call and put.

B is incorrect. It is true that both strategies help reduce hedging costs through premiums collected on short call and put, but they both do not accommodate the market view on the currencies.

如题

1 个答案

李坏_品职助教 · 2025年02月01日

嗨,从没放弃的小努力你好:


forward rate表示的是当前时刻期限为6个月的远期汇率,是市场的观点。

表格里的forecast spot rate是人为预测的未来的即期汇率,是个人预测的观点。


按照forecast的信息,BRL/AUD在未来预计贬值到2.0355,Strategy 1仅仅提供了BRL/AUD跌到2.1006的保护(AUD继续跌的话就失去保护了),所以Strategy 1没有充分利用个人预测。


----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 6

    浏览
相关问题

NO.PZ2022123002000023 问题如下 Tral suggests ththeuse of put options might a better wto hee currenexposure. Camposrespon ththere are better options-basestrategies thcexploit marketviews anreheing costs. She suggests the following strategies:Ÿ Strategy 1. For AUexposure, theappropriate strategy is to long put options a strike priof 2.1046,short put options with a strike pri2.1006, anshort call options with astrike priof 2.1456.Ÿ Strategy2. For CHF exposure, the appropriate strategy is to long put options astrike priof 2.5309, short put options with a strike pri2.5049, anshortcall options with a strike priof 2.5669.Is Campos mostlikely correthStrategy 1 anStrategy 2 will accomplish the goals of exploitingmarket views anrecing heing costs? A.No, she is incorreabout recing heing costs B.Yes C.No, she is incorreabout exploiting market views CorreAnswer: CCampos suggeststhboth strategies help reheing costs anallow the manager to exploita market view. While it is true thboth strategies help reheing coststhrough premiums collecteon short calls anputs, they both not exploitthe market view on the currencies, specifically, Strategy 1 es not. Exhibit 3incates ththe expectation is for the AUto preciate to BRL/AU2.0355anfor the CHF to appreciate to BRL/CHF 2.5642. Strategy 1, the short seagullon the AU only provis wnsi protection to BRL/AU2.1006 (when the shortput kicks in anneutralizes the hee), not BRL/AU2.0355. Unr Strategy 2,the expectation is for appreciation to BRL/CHF 2.5642; here the optionpremium is pocketeanbecause the option is written with a strike of BRL/CHF2.5669, it will expire worthless if the rate never gets to BRL/CHF 2.5669A is incorrect. Itis true thboth strategies help reheing costs through premiumscollecteon short call anput.B is incorrect. Itis true thboth strategies help reheing costs through premiumscollecteon short call anput, but they both not accommote the market viewon the currencies. Strategy 1: For AUexposure, the appropriate strategy is to long put options a strike priof 2.1046, short put options with a strike pri2.1006,不能表达市场观点是因为同时做long put + short put 吗?如果只是单做long put strike 2.1046,应该是表达了市场观点的吧。

2023-08-15 12:18 1 · 回答