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13581943293 · 2022年08月18日

请问这道题的视频讲解有吗?在哪里?

* 问题详情,请 查看题干

NO.PZ201601050100001503

问题如下:

Rosario Delgado is an investment manager in Spain. Delgado’s client, Max Rivera, seeks assistance with his well-diversified investment portfolio denominated in US dollars.

Rivera’s reporting currency is the euro, and he is concerned about his US dollar exposure. His portfolio IPS requires monthly rebalancing, at a minimum. The portfolio’s market value is USD2.5 million. Given Rivera’s risk aversion, Delgado is considering a monthly hedge using either a one-month forward contract or one-month futures contract.

Assume Rivera’s portfolio was perfectly hedged. It is now time to rebalance the portfolio and roll the currency hedge forward one month. The relevant data for rebalancing are provided in Exhibit 1.



With the US dollar currently trading at a forward premium and US interest rates lower than Spanish rates, Delgado recommends trading against the forward rate bias to earn additional return from a positive roll yield.


Identify two strategies Delgado should use to earn a positive roll yield. Describe the specific steps needed to execute each strategy.


选项:

解释:


Given that the base currency (the US dollar) is trading at a forward premium, the hedge requires the sale of US dollar forward, resulting in a positive roll yield. The concept of roll yield is very similar to forward rate bias and the carry trade. Here, Delgado is suggesting a strategy to pursue when there is a negative roll yield, because a hedger trading against the forward bias would be buying US dollars at a forward premium instead of selling them. The carry trade strategy of borrowing in low-yield currencies and investing in high-yield currencies is equivalent to trading the forward rate bias, not against it.

中文解析:

基于整个题干的背景可知:本币是EUR,外币是USD。因此担心外币贬值,需要short forward on EUR/USD(也就是解析里面说的base currency应该是USD)

现在美元存在远期溢价,即F>S,所以short forward on EUR/USD的头寸,计算roll yield=F-S/S也会有正的收益。

另外因为美元的利率低于欧元的利率,可以执行carry trade策略,借低利率货币投资于高利率货币,其中低利率货币又叫做forward premium currency,高利率货币又叫做forward discount currency。

请问这道题的视频讲解有吗?在哪里?

1 个答案

Hertz_品职助教 · 2022年08月18日

嗨,从没放弃的小努力你好:


同学你好

这道题是R10的最后一道课后题。

在咱们的课后题讲解中,是何老师讲解的,视频如下:

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

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