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Jerry · 2020年02月28日

问一道题：NO.PZ2018113001000035

  1. CFA III
  2. Derivative

问题如下：

Consider a US-based VC firm that is calling down capital commitments and will receive CAD50 million in 30 days. The general partner decides to sell futures contracts to lock in the current USD/CAD rate. The hedge ratio is assumed to be equal to 1.

The price for the Canadian dollar futures contract is 0.7838 USD/CAD and the contract size of CAD100,000. To hedge its risk, the firm should:

选项：

A.

sell 500 future contracts.

B.

buy 500 future contracts.

C.

sell 50 future contracts.

解释：

A is correct.

考点：futures管理汇率风险

解析：

To hedge the risk of the Canadian dollar depreciating against the US dollar, the VC firm must sell

CAD 50,000,000/CAD 100,000=500 contracts

请问这里说的The hedge ratio is assumed to be equal to 1 是什么用途呢？谢谢。

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1 个答案

xiaowan_品职助教 · 2020年02月28日

嗨，爱思考的PZer你好：


同学你好，这道题目中说对冲比例是1也就100%对冲，不会留下任何方向的风险敞口，

与之对应的是over hedge（用更多forward合约） 和 under hedge （只对冲部分的头寸）


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


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