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Leviathan · 2025年02月02日

short頭寸

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202204250100000303

问题如下：

C. Construct a three-month currency swap trade to hedge Queensland’s INR exposure. Calculate the all-in forward rate for the forward leg of the swap.

解释：

The India asset value has increased by 5%: INR 60,000,000 * (1 + 0.05) = INR 63,000,000

Thus, the size of the hedge should be increased from INR 60 million to INR 63 million when rolling over the futures contract using a currency swap.

Sebastian should use a mismatched swap, buying INR 60,000,000 at the spot rate (spot leg) against AUD to settle the maturing forward contract and then selling INR 63,000,000 at forward (forward leg) to increase the hedge size.

The forward leg of the swap would require selling INR 63,000,000 forward three months. Selling INR (foreign currency) is equal to buying AUD (base currency) in the INR/AUD quote.

Therefore, using offer-side forward points to calculate the three-month all-in forward rate for the forward leg of the swap:

54.84 + 80/100 = 54.84 + 0.8 = 55.64 INR/AUD

文中說的是short forward INR/AUD ，是针对AUD的short头寸還是INR？

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1 个答案

李坏_品职助教 · 2025年02月03日

嗨，爱思考的PZer你好：


Queensland has a short position of 60,000,000 Indian rupees (INR) in an INR/AUD forward contract.


Queensland做空了60000000 INR价值的仓位，合约是INR/AUD远期合约。这里已经说明了做空的是INR这个外币，说明头寸是INR。并且Queensland是澳大利亚的公司，说明AUD是本币，INR才是外币资产。






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NO.PZ202204250100000303 问题如下 Construa three-month currenswtra to hee Queenslans INR exposure. Calculate the all-in forwarrate for the forwarleg of the swap. The Ina asset value hincrease5%: INR 60,000,000 * (1 + 0.05) = INR 63,000,000 Thus, the size of the hee shoulincreasefrom INR 60 million to INR 63 million when rolling over the futures contrausing a currenswap.Sebastishouluse a mismatcheswap, buying INR 60,000,000 the spot rate (spot leg) against AUto settle the maturing forwarcontraanthen selling INR 63,000,000 forwar(forwarleg) to increase the hee size.The forwarleg of the swwoulrequire selling INR 63,000,000 forwarthree months. Selling INR (foreign currency) is equto buying AU(base currency) in the INR/AUquote.Therefore, using offer-si forwarpoints to calculate the three-month all-in forwarrate for the forwarleg of the swap:54.84 + 80/100 = 54.84 + 0.8 = 55.64 INR/AU 题干中short 6000000INR,所以hee时buy INR ansell AU那为什么还要在去sell INR 63000000，没看懂

2024-10-12 10:26 1 · 回答