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jianghaiyang · 2020年06月05日

问一道题：NO.PZ201601050100000401

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

问题如下：

1. To rebalance the SEK/GBP hedge, and assuming all instruments are based on SEK/GBP, Björk would buy:

选项：

A.

GBP 7,000,000 spot.

B.

GBP 7,000,000 forward to December 1.

C.

SEK 74,812,500 forward to December 1.

解释：

B is correct.

The GBP value of the assets has declined, and hence the hedge needs to be reduced by GBP 7,000,000. This would require buying the GBP forward to net the outstanding (short) forward contract to an amount less than GBP 100,000,000.

A is incorrect because to rebalance the hedge (reduce the net size of the short forward position) the GBP must be bought forward, not with a spot transaction.

C is incorrect because the GBP must be bought, not sold. Buying SEK against the GBP is equivalent to selling GBP. Moreover, the amount of SEK that would be sold forward (to buy GBP 7,000,000 forward) would be determined by the forward rate, not the spot rate (7,000,000 × 10.6875 = 74,812,500).

请问为什么要买GBP对冲呢？

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1 个答案

xiaowan_品职助教 · 2020年06月05日

嗨，努力学习的PZer你好：


同学你好，

因为这道题hedge的头寸是short GBP position（因为最初被hedge的是GBP资产） ，

现在要减少hedge的头寸，所以要反向操作，也就是买GBP


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