A Swiss based fund has long equity position in US stocks. The currency exposure is hedged with six-month forward contracts. Spot and forward market currency information for USD is provided in Exhibit 1.
If the forward rate premium/discount is 45 basis points, determine whether it would be appropriate to hedge the currency exposure, and calculate the hedged profit.
answer:
If the forward rate premium is 45 basis points, then the forward rate is 0.9375, which is higher than the six-month forecast spot rate. So currency exposure should be hedged, and the hedged profit = 0.0045/0.9330 = 0.4823%.
If forward rate discount is 45 basis points, then the forward rate is 0.9285, which is lower than the six-month forecast spot rate. So currency exposure should not be hedged.
老师，不知道我这样理解对不对：
这道题是Swiss based fund拥有usd，那他们肯定是害怕美元贬值，因此当forward rate is 0.9375, six-month forecast spot rate is 0.9300时。说明预测的6个月汇率更低，因此要以0.9375的价格进行hedge。
还有，
hedged profit = 0.0045/0.9330 = 0.4823%
不知道这个公式是书上的吗，我一点印象都没有，谢谢老师
