NO.PZ2018113001000036
问题如下:
Mary just received $30 million. She plans to invest these funds at risk free rate of 3% and then converts them into euros in six months. To hedge the currency risk, Mary decides to long forward contracts. Six-month forward rate is 1.10 USD/EUR. Spot rate is 1.13 USD/EUR. The day-count convention is 30/360. If Mary uses a six-month forward contract to hedge the risk, the realized annualized return in euros will be?
选项:
A.6.58%
B.8.69%
C.7.32%
解释:
B is correct.
考点:forward管理汇率风险
解析:
要计算对冲后的欧元的收益率,即需要比较现在转换的欧元和投资6个月之后用forward转换的欧元,计算期间的年化收益率。
如果现在转换欧元,即用spot rate转换,可以获得30,000,000/1.13=€26,548,673
投资6个月转换的欧元=30,000,000(1+3%)0.5/1.1=€27,678,795
假设年化收益率=r
26,548,673(1+r)0.5=€27,678,795,可计算出r=8.69%
老师好虽然不是这题的考点, 题目中说主人公以后要收EURO, 意思就是 现在有USD, 以后要转成EURO, 这样相当于是以后要Sell USD and buy EURO, 是吗? 这样的话,以后收欧元,不是应该担心欧元贬值? 就像老师基础班上说的以后收欧元,会担心FX of euro f贬值 (截图)? 如果是这样的话,主人公是照理说应该是short a forwrad on USD/EURO 而不是long forward on USD/EURO 或说是应该 short forward on EURO/USD的,是吗?
不影响做这题, 就是想确认一下这样理解没问题。 谢谢。