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mino酱是个小破货 · 2020年11月10日

问一道题:NO.PZ2018111302000068 [ CFA II ]

问题如下:

An analyst thinks that actual price volatility of A crude oil has been higher than its expected volatility, and he expects this trend to continue. Which position should the analyst take?

选项:

A.

a long volatility swap on A crude oil

B.

a short volatility swap on A crude oil

C.

a short position in an excess return swap that is based on a fixed level of the commodity Index.

解释:

A is correct.

因为预测A原油实际的price volatility是要高于预期的price volatility,当实际波动小于预期波动时,波动互换卖方获利,当实际波动大于预期波动时,波动互换买方获利,所以应该long volatility swap。

老师,麻烦解释下C项,谢谢
1 个答案

韩韩_品职助教 · 2020年11月12日

嗨,从没放弃的小努力你好:


同学你好,C选项是一个excess return swap, 它和total return swap类似,也是以固定换浮动, 以固定的收益换超过某个commodity index约定好的level的超额收益。 比如我们是以5%和一个commodity index的超额收益来互换,约定的commodity index的水平是1000, 那么到期的时候来看commodity index和1000相比,超额的收益是多少。

而题目当中是要看volatility,所以C选项不是相关的。


-------------------------------
努力的时光都是限量版,加油!


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