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Shawnxz · 2022年02月15日

请问这个可以用forward吗?

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?

1 个答案
已采纳答案

Hertz_品职助教 · 2022年02月16日

嗨,从没放弃的小努力你好:


同学你好~

可以的哈。

而且在外汇市场上使用forward合约来管理外汇风险是更加常见的,可以回忆一下我们做的关于外汇管理的题目,很多都是使用的forward合约。

这里只是题目(第一段倒数第二句)说他使用了futures合约,所以我们就按照futures来处理了。

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