开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Ruthlessbaby · 2020年09月15日

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

  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).

为什么GBP资产刚开始short forward会造成declined呢？是因为原先对冲是担心GBP贬值所以short forward，结果GBP却升值了，造成了short forward头寸有损失，所以才需要另外对冲？
添加评论
1 个答案

xiaowan_品职助教 · 2020年09月15日

嗨，爱思考的PZer你好：


同学你好，

GBP资产decline不是forward造成的，是资产本身价值decline了，简单举例就是假设最初有100GBP资产需要被对冲，我们就short 了对应100GBP的forward合约，过了一段时间，资产价值下降到50GBP了，这时候forward合约的空头就太多了，所以需要反向对冲掉多余的对应50GBP的forward合约。


-------------------------------
加油吧，让我们一起遇见更好的自己！


  • 1

    回答

  • 0

    关注

  • 856

    浏览
相关问题

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