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mino酱是个小破货 · 2025年05月11日

烦请问下老师这么回答可以吗?谢谢老师

* 问题详情,请 查看题干

NO.PZ201601050100001503

问题如下:

Identify two strategies Delgado should use to earn a positive roll yield. Describe the specific steps needed to execute each strategy.


选项:

解释:


Given that the base currency (the US dollar) is trading at a forward premium, the hedge requires the sale of US dollar forward, resulting in a positive roll yield. The concept of roll yield is very similar to forward rate bias and the carry trade. Here, Delgado is suggesting a strategy to pursue when there is a negative roll yield, because a hedger trading against the forward bias would be selling US dollars at a forward premium. The carry trade strategy of borrowing in low-yield currencies and investing in high-yield currencies is equivalent to trading the forward rate bias, not against it.

中文解析:

基于整个题干的背景可知:本币是EUR,外币是USD。因此担心外币贬值,需要short forward on EUR/USD(也就是解析里面说的base currency应该是USD)

现在美元存在远期溢价,即F>S,所以short forward on EUR/USD的头寸,计算roll yield=F-S/S也会有正的收益。

另外因为美元的利率低于欧元的利率,可以执行carry trade策略,借低利率货币投资于高利率货币,其中低利率货币又叫做forward premium currency,高利率货币又叫做forward discount currency。

1.we can do the carry trade, borrow in lower US interest rateand then invest in the high yield S

panish rates

2.Take the forward rate bias.Buy the forward discount currency and short the forward premium currency.

1 个答案

李坏_品职助教 · 2025年05月11日

嗨,努力学习的PZer你好:


可以的。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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