请问滚进一份新的合同不是应该只剩下五个月了吗？为什么还是用的六个月的远期

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NO.PZ202312250100001002

问题如下：

Calculate the amount SIGF needs to rebalance its CAD hedge today.

解释：

One month ago, the value of SIGF assets in CAD are 500 million.

Today, the value of SIGF assets in CAD is 520 million.

The foreign investment in terms of Canadian dollars increased by CAD 20 million; hence Schwinn must increase the size of the hedge by selling another CAD 20 million in addition to the CAD 500 million initially sold a month ago.

To sell another CAD 20 million forward today, Schwinn will have to buy USD, in the base currency CAD/USD quote. Therefore, the offer side of the market must be used.

1.3352 + (191/10,000) = 1.3543

请问滚进一份新的合同不是应该只剩下五个月了吗？为什么还是用的六个月的远期

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1 个答案

李坏_品职助教 · 2025年03月24日

嗨，努力学习的PZer你好：

这个人他是每个月都要进行dynamic hedge，并不是说到第6个月就停止hedge（合约的期限是6个月，但是dynamic hedge这个操作并不是只做6个月的）。

这道题是默认每次dynamic hegde都用6个月期限的新合约。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ202312250100001002 问题如下 Calculate the amount SIGF nee to rebalanits Chee toy. One month ago, the value of SIGF assets in Care 500 million.Toy, the value of SIGF assets in Cis 520 million.The foreign investment in terms of Canallars increaseC20 million; henSchwinn must increase the size of the hee selling another C20 million in aition to the C500 million initially sola month ago.To sell another C20 million forwartoy, Schwinn will have to buy US in the base currenCAUSquote. Therefore, the offer si of the market must use1.3352 + (191/10,000) = 1.3543 所以答案是C20 million吗？还是说重新签订6个月后CA金额？题目是问需要调整的金额，还是调整后的金额呀。

2025-03-25 06:53 1 · 回答