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
positive, but the currency change reduced some of this
effect
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.
之前老师回答：
0时刻：
T同学签的是6个月的远期合约，且是short 头寸，因此计算roll yield=F-S/S=（1.3916-1.3935）/1.3935=-19bp/1.3935=-0.001363;
在3个月的时间点：
想再roll 进一份新的forward合约，这需要两步，一是签发反向对冲合约把之前的6个月的forward合约平仓平掉，二是再签一份新的forward合约，新的合约仍然是short头寸，roll yield =（1.4106-21.6bp-1.4106）/1.4106=-21.6bp/1.4106=-0.001531。
我想问，3个月后，spot rate看数据是appreciation了，但具体对roll yield 的影响是扩大还是减小，还要根据在3个月时间点进行roll时的forward rate变动方向和大小计算判断，而不能把本题的选项作为一个结论去套用。这么理解对么
