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Arnie · 2022年11月09日

forward points 指的是啥?

* 问题详情,请 查看题干

NO.PZ201601050100000404

问题如下:

4. The most important risk to Björk‘s Latin American currency hedge would be changes in:

选项:

A.

forward points.

B.

exchange rate volatility.

C.

cross-currency correlations.

解释:

C is correct.

A cross hedge exposes the fund to basis risk; that is, the risk that the hedge fails to protect against adverse currency movements because the correlations between the value of the assets being hedged and the hedging instrument change.

A is incorrect because movements in forward points (and hence roll yield) would be of secondary importance compared to the basis risk of a cross hedge.

B is incorrect because exchange rate volatility would not necessarily affect a hedge based on forward contracts, as long as the correlations between the underlying assets and the hedge remained stable. Although relevant, volatility in itself is not the -most- important risk to consider for a cross-hedge. (However, movements in volatility would affect hedges based on currency options.)

中文解析:

题干意思是说现在发现MXN这个币种和拉丁美洲的货币相关性很高,因此他想用MXN来代替拉丁美洲的货币来进行对冲,也就是cross hedge。

cross hedge的风险在于:所找的替代的币种(对应本题中的MXN),与要对冲的币种(对应本题中的拉丁美洲的货币)相关性并不是很高,此时就会存在对冲不完全等问题,就会存在风险。因此本题选C。

1、答案说forward points 指的的roll yied 这个怎么和本节知识点hedging multiple currency 关联在一起的呢?

2、此题目考查的是basis risk?

3、本节知识点hedging multiple currency 讲的对冲方法不涉及option 所以与volatility无关?

1 个答案

lynn_品职助教 · 2022年11月10日

嗨,努力学习的PZer你好:


1、答案说forward points 指的的roll yied 这个怎么和本节知识点hedging multiple currency 关联在一起的呢?


1、forward points确定远期汇率和即期汇率之差的基点数。


计算公式:forward points = 远期汇率 - 即期汇率 (这是一级的知识点)


Roll yield可以理解为签订forward合约可以给我们带来的好处,只是这个好处有正有负两种情况。当roll yield为正数的时候,又叫做forward premium;当roll yield为负数的时候,又叫做forward discount。


roll yield的计算公式分两种情况:


第一种情况:当我们short forward时,roll yield=F-S/S


第二种情况:当我们long forward时,roll yield=S-F/S


因此答案这么说forward points (and hence roll yield) 


至于为什么和本节知识点关联,这道题是原版书课后题R17的23题,何老师解释了A/B都是凑选项的,不用太在意。



2、此题目考查的是basis risk?


2、是的,间接对冲的缺点是basis risk高,如果是直接对冲可以很大的降低basis risk。这里就是想用MXN来代替拉丁美洲的货币来进行间接对冲。


3、本节知识点hedging multiple currency 讲的对冲方法不涉及option 所以与volatility无关?


3、是本题不涉及用option来对冲。因为对于forward来说vol不是主要风险,假如MXN和拉丁美洲货币相关性高,那么波动率高,则双方都高,波动率低双方都低,没有影响。option的价值则与vol有关,从公式即可看出。

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