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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？
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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。


-------------------------------
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