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含笑步步颠💫 · 2021年07月12日

问一道题:NO.PZ201601050100000302 第2小题 [ CFA III ]

* 问题详情,请 查看题干

问题如下:

2. For Subscriber 2, and assuming all of the choices relate to the KRW/USD exchange rate, the best way to implement the trading strategy would be to:

选项:

A.

write a straddle.

B.

buy a put option.

C.

use a long NDF position.

解释:

C is correct.

Based on predicted export trends, Subscriber 2 most likely expects the KRW/USD rate to appreciate (i.e., the wonthe price currencyto depreciate relative to the USD). This would require a long forward position in a forward contract, but as a country with capital controls, a NDF would be used instead. (Note: While forward contracts offered by banks are generally an institutional product, not retail, the retail version of a non-deliverable forward contract is known as a -contract for differences- (CFD) and is available at several retail FX brokers.)

A is incorrect because Subscriber 2 expects the KRW/USD rate to appreciate. A short straddle position would be used when the direction of exchange rate movement is unknown and volatility is expected to remain low.

B is incorrect because a put option would profit from a depreciation of the KRW/USD rate, not an appreciation (as expected). Higher volatility would also make buying a put option more expensive.

解答说货币流通受限制,题目中哪句话表达了这个点?
1 个答案
已采纳答案

Hertz_品职助教 · 2021年07月14日

嗨,从没放弃的小努力你好:


同学你好~

确切的说我们是根据选项C中提到的NDF才可以联想到资本管制这个点的。

如下图基础班讲义P112页。

但是即便咱们想不到资本管制这个点,这道题目也是可以做出来的哈

韩国出口变慢即在下降,美国出口增加,市场上需要更多美元来购买美国的商品,对美元的需求增加,从而导致美元升值。然后汇率的标价形式是KRW/USD,说明研究的就是美元,美元要升值,B选项不对;A选项考虑的是波动率也不能选。C中的NDF就把它当做一个forward即可~

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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2022-02-22 09:51 1 · 回答

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