Björk then examines the fund’s EUR-denominated exposures. Due to recent monetary tightening by the Riksbank (the Swedish central bank) forward points for the SEK/EUR rate have swung to a premium. The fund’s EUR-denominated exposures are hedged with forward contracts.
Q. Given the recent movement in the forward premium for the SEK/EUR rate, Björk can expect that the hedge will experience higher:
- basis risk.
- roll yield.
- premia income.
看了关于这道题的很多解答，我想不明白的一点是为什么紧缩的货币政策之后forward points for SEK/EUR会变成premium呢？我理解：紧缩的货币政策会使得SEK升值，那么SEK/EUR的forward应该是discount呀？烦请老师解释一下这里吧，非常感谢！
