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matthew6448 · 2020年10月04日

问一道题：NO.PZ2018111501000019

  1. CFA III
  2. Derivative

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay. Which of the trades below will most likely satisfy Aron’s objectives at expiration?

选项：

A.

Trade 1: Buy call with 1.68 strike, sell call with 1.72 strike.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

Trade 3: Buy call with 1.60 strike, sell call with 1.72 strike.

解释：

B is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。

其实在实务上面，如果要买一个out of money的call，相对应50delta的 European call 所对应的的strike应该就是这个预期的远期汇率1.68。

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1 个答案

xiaowan_品职助教 · 2020年10月06日

嗨，从没放弃的小努力你好：


同学你好，

我们要根据所给选项选出最符合要求的哈


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


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