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Darkblanca · 2023年12月10日

没明白

NO.PZ2022123002000019

问题如下:

Testa acquired a Spanish packaging company. The Spanish investment involved Testa acquiring 200,000 shares of a packaging company at EUR90 per share. He decided to fully hedge the position with a six month USD/EUR forward contract. Details of the euro hedge at initiation and three months later are provided in Exhibit 1. Three months after the purchase, the shares had increased to EUR100 each, but Testa, believing that a still higher price was likely, maintained the position. He also indicated that he did not anticipate having to roll the hedge forward at its maturity.

Exhibit 1 2009 Spot and Forward USD/EUR Quotes (Bid-Offer) and Annualized Libor Rates

If the 2009 forward hedge had been rolled forward at its maturity, using Exhibit 1, the roll yield would most likely have been:

选项:

A.

negative, but the currency change made it less negative

B.

positive, but the currency change reduced some of this effect

C.

negative, and the currency change made it even more negative

解释:

Correct Answer: C

In implementing the hedge, euros (the base currency) must be sold against the US dollar. The base currency is selling at a discount and thus would “roll up the curve” as the contract approaches maturity. Settlement of the forward contract would entail buying euros at a higher price—that is, selling low and buying high—resulting in a negative roll yield. Since the euro has appreciated by the time the hedge needs to be extended, this tends to further increase the cost of euros to settle the original contract and makes the roll yield even more negative—that is, sell low, buy even higher.

解释题干和问题里的这几个吧,看不明白题目到底想问的是什么,就别复制其他几个人问的答案过来了,我是看了那几个回答还是没明白


1、He decided to fully hedge the position with a six month USD/EUR forward contract. 

2、He also indicated that he did not anticipate having to roll the hedge forward at its maturity.

3、If the 2009 forward hedge had been rolled forward at its maturity

1 个答案

pzqa31 · 2023年12月11日

嗨,努力学习的PZer你好:


1.就是T这个人买了西班牙公司的股票,担心欧元下跌,所以short 6个月 forward on EUR

2.我理解这句话的意思是这个不想等到期再去roll进新合约,其实这句话也没什么用,因为已经明确说了3个月时间点就roll了

3.这句话的意思是:如果用于对冲的2009这个远期合约在到期时会进行滚仓。直白点说就是这个2009的远期合约到期后会再滚进一份新的合约(根据题干中的表格1的表头信息我们可以猜测这个远期合约就简称为了2009 forward)。

但这句话其实是毫无意义的,因为根据题干我们知道这个合约是6个月到期的,然后本题问的是3个月时间点就想roll 进一份新的合约。所以根本就没有等到它到期嘛。


这道题目之前是某一年的mock题目,现在被收入了我们的经典题中,同学如果实在不明白,可以去听下经典题的讲解,何老师在讲解的时候也说过这一点,就是题目本身是有问题的,当然这也符合mock题目一贯有错题的风格了。我们做这道题目的时候就着重理清思路,掌握知识点,对细节可以不必过于纠结哈。

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