NO.PZ2018111501000015
问题如下:
Raymond, a US analyst, is managing a fund with EUR-denominated assets. The assets are currently hedged by a EUR 500,000 forward contract. The maturity of the forward is March 1, that is three-months away from today. Due to the market condition changes, the assets have increased by EUR 20,000. Assume the USD/EUR spot rate is 1.1338, to rebalance the USD/EUR hedge, Raymond should:
选项:
A.
sell EUR 20,000 spot
B.
sell a EUR 20,000 three-month forward
C.
sell a USD 22,676 three-month forward
解释:
B is correct.
考点:Tools of Currency Management: Forward
解析:动态对冲,在建立对冲机制后,会定期调整对冲比例,实现更好的对冲效果。方法之一是应当针对增值部分签订三个月的远期合约,所以A错
B正确。本币是USD,外币是EUR,因此担心外币EUR贬值,需要short forward on EUR。现在资产规模增加了20,000欧元,因此需要针对增加的20,000欧元头寸再次签订short forward头寸,这种方法投资者手上会同时持有多份合约。
C错误,如果是forward on USD,应该是 long a USD 22,676 three-month forward,此处头寸方向错了。
看了前面同学的提问,助教说已经修改了选项,但我怎么觉得C选项如果要long USD,不能用spot rate来算?难道不应该用三个月后到期的forward rate来计算USD的规模吗?