Lipka’s manager asks her to evaluate the risks of apotential new portfolio denominated in Lithuanian litas (LHS) shown in Exhibit 2. Lipka performs a stress test on the portfolio over a three-month horizon and estimates a total return inPLN using the following assumptions:
- The bonds increase in value by 10%.
- The equities decrease in value by 20%.
- The principal value of the portfolio is currency-hedged using a three-month forward contract.
- Both the spot and forward exchange rates are 0.87 PLN = 1 LHS at the beginning of month 0. The spot exchange rate is 0.80 PLN = 1 LHS at the end of month 3.
- bond = 25
- equites =10
- notional value of forward = 35
Calculatethe profit or loss in PLN for the Lithuanian portfolio in Exhibit 2, under the
assumptions in Lipka’s stress test. Show your calculations
求问，
为何forward是short LHS，还是会亏钱，如果0.87跌到0.80，理论赚钱啊，而且forward 不是锁定交割价格0.87么？
