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sion · 2025年03月25日

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NO.PZ202312250100001002

问题如下:

Calculate the amount SIGF needs to rebalance its CAD hedge today.

选项:

解释:

One month ago, the value of SIGF assets in CAD are 500 million.

Today, the value of SIGF assets in CAD is 520 million.

The foreign investment in terms of Canadian dollars increased by CAD 20 million; hence Schwinn must increase the size of the hedge by selling another CAD 20 million in addition to the CAD 500 million initially sold a month ago.

To sell another CAD 20 million forward today, Schwinn will have to buy USD, in the base currency CAD/USD quote. Therefore, the offer side of the market must be used.

1.3352 + (191/10,000) = 1.3543

所以答案是CAD 20 million吗?还是说重新签订6个月后CAD的金额?题目是问需要调整的金额,还是调整后的金额呀。

1 个答案

李坏_品职助教 · 2025年03月25日

嗨,从没放弃的小努力你好:


题目问你 还需要调整多少金额的CAD hedge? 由于现在的资产价值是520m,比之前对冲的时候增值了20m,所以我们需要调整的金额是20m,也就是再额外sell 20m的 CAD,这就是最终答案了。

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