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Amber · 2020年04月09日

问一道题:NO.PZ2018111501000011

问题如下:

Suzuki is a Japanese working in United Kingdom. As he plans to move back to Japan, he decided to exchange his savings from GBP to JPY in the near future. During this period, he uses futures contracts in order to reduce currency risk exposure. The characteristics of futures contract he should significantly consider is:

选项:

A.

the risk of daily margin calls

B.

high transaction costs

C.

the FX quotation is DC/FC or FC/DC.

解释:

A is correct.

考点:Using Derivatives in Currency Risk Management

解析:Futures contracts是交易所交易的(exchange-traded),最大的特点是每日盯市(daily mark-to-market),因此有margin calls的风险,A正确。Futures与Foward的交易成本都比较低,需要考虑高交易成本的是option。外汇报价是DC/FC 还是FC/DC不会影响到对冲外汇风险的过程。

請問DC/FC的意思是什麼?我需要在哪些題目上注意?謝謝。

1 个答案
已采纳答案

xiaowan_品职助教 · 2020年04月10日

嗨,爱思考的PZer你好:


同学你好,DC/FC是一种外汇报价形式,放在这道题中的意思就是不论外汇报价是用GBP/JPY表示,还是用JPY/GBP表示,都不影响我们用期货对冲的效果,只要调整头寸方向就可以了。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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