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四喜 · 2024年05月10日

确认下 roll yield 公式

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000403

问题如下：

3. Given the recent movement in the forward premium for the SEK/EUR rate, Björk can expect that the hedge will experience higher:

选项：

A.

basis risk.

B.

roll yield.

C.

premia income.

解释：

B is correct.

To hedge the EUR-denominated assets Björk will be selling forward contracts on the SEK/EUR cross rate. A higher forward premium will result in higher roll return as Björk is selling the EUR forward at a higher all-in forward rate, and closing out the contract at a lower rate (all else equal), given that the forward curve is in contango.

A is incorrect because Björk is hedging EUR-denominated assets with a EUR-denominated forward contract. While it is true that the gap between spot and forward rates will be higher the higher the interest rate differential between countries, this gap (basis) converges to zero near maturity date, when the forward contracts would be rolled.

C is incorrect because forward contracts do not generate premia income; writing options does.

中文解析：

这道题目从roll yield的公式来判断。

首先明确一下持有的是外币EUR的资产，因此是short forward on SEK/EUR。此时roll yield的计算式子是F-S/S。

而forward premium指的是F>S，所以根据roll yield的公式可知，roll yield为正，即有更高的roll yield的。

C选项指的是期权费，本题不涉及，A选项的基差风险本题也不涉及。

  1. backwardation情况下：roll yield = (SP0 - FP0) / SP0 ；
  2. contango情况下：roll yield = (FP0 - SP0) / SP0；


Q1：公式是对的嘛？有点记不清了；

Q2：roll yield这样计算是不是永远是正数呢？

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已采纳答案

pzqa31 · 2024年05月11日

嗨，努力学习的PZer你好：


复习一下：Roll yield是我们在使用forward contract对冲外汇风险的时候会产生的一部分收益或者损失，如果roll yield>0则是收益或抵减成本，如果是roll yield<0则是损失或增加成本.


roll yield的正负主要取决于(1)是contango/forward premium(F>S)还是backwardation/forward discount(F


对于short头寸：roll yield=（F-S0）/S0,对于Long头寸：roll yield=(S0-F)/S0。


当F>S，即contango结构时，long futures的roll yield = （S-F）/S，为负；short futures的roll yield = （F-S）/S，为正；

当F

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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