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alice006 · 2019年01月10日

问一道题:NO.PZ201601050100000401 第1小题 [ CFA III ]

* 问题详情,请 查看题干

问题如下图:

选项:

A.

B.

C.

解释:

老师,本题怎么能看出来当前持有的是GBP short 头寸?

1 个答案
已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2019年01月10日

主要是区分出哪个是本币,哪个是外币。题干中,SEK是reporting currency,说明其它币种的资产最终都会折算成SEK来衡量业绩,所以SEK是本币,管理了一个GBP的资产,GBP是外币。由于未来GBP资产的业绩都会转换成SEK来衡量,那么投资者就会担心外币资产贬值,担心贬值就会short FC forward,也就是short GBP forward。

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NO.PZ201601050100000401 问题如下 1. To rebalanthe SEK/Ghee, anassuming all instruments are baseon SEK/GBP, Björk woulbuy: A.G7,000,000 spot. B.G7,000,000 forwarto cember 1. C.SEK 74,812,500 forwarto cember 1. B is correct.The Gvalue of the assets hcline anhenthe hee nee to receG7,000,000. This woulrequire buying the Gforwarto net the outstanng (short) forwarcontrato amount less thG100,000,000.A is incorrebecause to rebalanthe hee (rethe net size of the short forwarposition) the Gmust bought forwar not with a spot transaction.C is incorrebecause the Gmust bought, not sol Buying SEK against the Gis equivalent to selling GBP. Moreover, the amount of SEK thwoulsolforwar(to buy G7,000,000 forwar woulterminethe forwarrate, not the spot rate (7,000,000 × 10.6875 = 74,812,500).中文解析题干中,本币是SEK,持有外币GBP的资产,担心外币贬值,因此需要short forwaron GBP,合约规模是100,000,000,到期时间是12月1号。现在外币资产规模下降了7,000,000,因此原来的对冲头寸也需要对应的下降7,000,000.降低原来对冲头寸的方法是签反向头寸平掉7,000,000的头寸。之前是short forwar头寸,到期时间是12月1号,反向头寸需要long forwar合约规模是7,000,000,到期时间应该和原来的合约到期时间一样也是12月1号,因此选

2024-10-10 09:37 1 · 回答

NO.PZ201601050100000401 问题如下 1. To rebalanthe SEK/Ghee, anassuming all instruments are baseon SEK/GBP, Björk woulbuy: A.G7,000,000 spot. B.G7,000,000 forwarto cember 1. C.SEK 74,812,500 forwarto cember 1. B is correct.The Gvalue of the assets hcline anhenthe hee nee to receG7,000,000. This woulrequire buying the Gforwarto net the outstanng (short) forwarcontrato amount less thG100,000,000.A is incorrebecause to rebalanthe hee (rethe net size of the short forwarposition) the Gmust bought forwar not with a spot transaction.C is incorrebecause the Gmust bought, not sol Buying SEK against the Gis equivalent to selling GBP. Moreover, the amount of SEK thwoulsolforwar(to buy G7,000,000 forwar woulterminethe forwarrate, not the spot rate (7,000,000 × 10.6875 = 74,812,500).中文解析题干中,本币是SEK,持有外币GBP的资产,担心外币贬值,因此需要short forwaron GBP,合约规模是100,000,000,到期时间是12月1号。现在外币资产规模下降了7,000,000,因此原来的对冲头寸也需要对应的下降7,000,000.降低原来对冲头寸的方法是签反向头寸平掉7,000,000的头寸。之前是short forwar头寸,到期时间是12月1号,反向头寸需要long forwar合约规模是7,000,000,到期时间应该和原来的合约到期时间一样也是12月1号,因此选 RT

2024-05-20 20:34 1 · 回答

NO.PZ201601050100000401 问题如下 1. To rebalanthe SEK/Ghee, anassuming all instruments are baseon SEK/GBP, Björk woulbuy: A.G7,000,000 spot. B.G7,000,000 forwarto cember 1. C.SEK 74,812,500 forwarto cember 1. B is correct.The Gvalue of the assets hcline anhenthe hee nee to receG7,000,000. This woulrequire buying the Gforwarto net the outstanng (short) forwarcontrato amount less thG100,000,000.A is incorrebecause to rebalanthe hee (rethe net size of the short forwarposition) the Gmust bought forwar not with a spot transaction.C is incorrebecause the Gmust bought, not sol Buying SEK against the Gis equivalent to selling GBP. Moreover, the amount of SEK thwoulsolforwar(to buy G7,000,000 forwar woulterminethe forwarrate, not the spot rate (7,000,000 × 10.6875 = 74,812,500).中文解析题干中,本币是SEK,持有外币GBP的资产,担心外币贬值,因此需要short forwaron GBP,合约规模是100,000,000,到期时间是12月1号。现在外币资产规模下降了7,000,000,因此原来的对冲头寸也需要对应的下降7,000,000.降低原来对冲头寸的方法是签反向头寸平掉7,000,000的头寸。之前是short forwar头寸,到期时间是12月1号,反向头寸需要long forwar合约规模是7,000,000,到期时间应该和原来的合约到期时间一样也是12月1号,因此选 Forwar约规模100,000,000 是怎么算出来的,有什么用么?

2024-01-25 14:00 1 · 回答

NO.PZ201601050100000401 问题如下 1. To rebalanthe SEK/Ghee, anassuming all instruments are baseon SEK/GBP, Björk woulbuy: A.G7,000,000 spot. B.G7,000,000 forwarto cember 1. C.SEK 74,812,500 forwarto cember 1. B is correct.The Gvalue of the assets hcline anhenthe hee nee to receG7,000,000. This woulrequire buying the Gforwarto net the outstanng (short) forwarcontrato amount less thG100,000,000.A is incorrebecause to rebalanthe hee (rethe net size of the short forwarposition) the Gmust bought forwar not with a spot transaction.C is incorrebecause the Gmust bought, not sol Buying SEK against the Gis equivalent to selling GBP. Moreover, the amount of SEK thwoulsolforwar(to buy G7,000,000 forwar woulterminethe forwarrate, not the spot rate (7,000,000 × 10.6875 = 74,812,500).中文解析题干中,本币是SEK,持有外币GBP的资产,担心外币贬值,因此需要short forwaron GBP,合约规模是100,000,000,到期时间是12月1号。现在外币资产规模下降了7,000,000,因此原来的对冲头寸也需要对应的下降7,000,000.降低原来对冲头寸的方法是签反向头寸平掉7,000,000的头寸。之前是short forwar头寸,到期时间是12月1号,反向头寸需要long forwar合约规模是7,000,000,到期时间应该和原来的合约到期时间一样也是12月1号,因此选 为何不选A,买现货平仓

2022-08-19 18:39 1 · 回答

NO.PZ201601050100000401 是将了700000,还是降到700000?

2021-10-19 15:39 1 · 回答