NO.PZ2018113001000082
问题如下:
Vic is an American investor who has an
investment in Canada with a term of 6 months. At the end of the investment
period he's going to sell this asset and get it back in dollars. Vic is worried
that the Canadian dollar will depreciate 6 months later, and he wants to hedge
the currency risk with the futures contract. Assume the hedge ratio is 100%.
Describe how Vic should construct this strategy.
选项:
解释:
Answer:
Vic should short futures on USD/CAD:
Vic can hedge the exchange rate risk by
selling CAD futures contracts with the closest expiry to the expected future CAD
inflow. When the futures contracts expire, Vic can convert Canadian dollars
back to US dollars at the agreed contract price.
The number of contracts needed:
Vic can determine the number of contracts
needed by dividing the asset’s sale price of CAD by the CAD. futures contract
value.
中文解析:
本题考察的是使用期货合约管理外汇风险。
美国的投资者在加拿大有一笔为期6个月的投资,在投资期结束的时候将卖掉这个资产,将收到加拿大元,然后再转换回本币美元。
因此该投资者担心6个月后加拿大元会贬值,他可以通过卖出对应的期货合约来锁定6个月后加拿大元换回美元的汇率,从而对冲掉汇率的风险。
需要的合约数量可以用该资产的售价除以期货合约的价值来计算。
请问这个可以用forward吗?