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eee · 2019年05月23日

一个关于inter maket的官网题目



Ivankiv offers another recommendation: “Our analysts believe both Australian and British long-term yields will decline more than long-term German yields over the coming year, with Australian long-term yields falling the most by a wide margin. The British yield curve is more steeply sloped than the Australian. Rather than remain invested in bunds, Kuaminika could invest in either British gilts or Australian government bonds and hedge the currency risk back to the euro with a rolling three-month foreign currency forward. There are, however, some issues to keep in mind:

  • Issue 1: The British gilt market is likely better for investment because its steeper yield curve provides larger benefits from ‘riding the curve.’

  • Issue 2: In order to properly account for the cost/benefit of eliminating currency exposure, hedge gains or losses should be measured relative to forward foreign exchange rates.

  • Issue 3: The rolling hedge will generate a profit (loss) if the spread between the short-term German yield and the short-term Australian or British yield increases (decreases) over time.”




Q. If all long-term rates fall as expected, which of Ivankiv’s issues regarding investment in the British gilt or Australian Treasury markets is least likely correct in the context of an inter-market trade?

  1. Issue 1
  2. Issue 2
  3. Issue 3




选项1 是因为英国长期利率会下降所以不对吗?

选向2 我觉得hedge gain or loss不是应该和预期的spot rate比较吗,如果外币spot 利率高就不hedge,是这个意思吗,选项2意思没看明白
选项3 如果澳大利亚和英国相比德国spread增加,那么预期澳大利亚和英国相对德国汇率将上升,我觉得roll yield 是负的呢?
这道题干比较复杂,看得有点混乱,请讲解一下,谢谢!


1 个答案
已采纳答案

发亮_品职助教 · 2019年05月25日

选项1 是因为英国长期利率会下降所以不对吗?”

是的,Riding the yield curve要保证收益率曲线Stable,按照本题的利率描述,虽然UK的Slope是更加Steep的,但预期UK的长期利率会下降,不是Stable的,所以不适合做Riding the yield curve。这是第一点错误,投资UK债不能实现Riding the yield curve收益。

但注意,因为是长期利率下降,所以UK长期债价格会上升,所以如果要做UK市场,也能产生收益,但是收益也不是来自Riding the yield curve,而是来自利率的下降债券价格上升Capital gain部分。

但因为两个市场里,预测Australian的利率下降幅度更大,所以投资Australian享受到的Capital gain会更多,所以Autralian bond的收益会更大。Issue 1里说:UK provides larger benefits,这是错误的,这是第二点错误。


我觉得hedge gain or loss不是应该和预期的spot rate比较吗,如果外币spot 利率高就不hedge,是这个意思吗,选项2意思没看明白”

本质上是:Forward里的汇率和预测的Future spot currency rate比。

仅仅考虑Hedge不Hedge的问题,这里要算2个收益:

第一个收益是计算用Forward hedge的收益;

第二个收益是计算用预测的Future spot currency rate直接换汇的收益(这个也是题目Forecasted/Projected future spot rate);

然后以上两个收益比大小,如果用Forward hedge收益更大,就Hedge,如果用预测的Future spot currency rate换汇收益更大,就不Hedge。

所以本质上比的是:Forward里约定的换汇价,和预测的Future spot currency rate的换汇价哪个更划算。

Issue 2说的不够准确:他说的是Hedge gains or losses 和 forward foreign exchange rates相比。

在Hedge与不Hedge的选择上,确实是拿Hedge gains和Unhedged gains比,但是Unhedge里的汇率是用预测的Future spot currency,不是Forward foreign exchange rates,而一般说Forward是指远期汇率。所以他这个Issue 2其实也不对。

Issue 2要是改成最正规的表述,可以具体参考讲义下面文字:

Currency exposure decisions should be based on projected appreciation or depreciation relative to forward FX rates rather than on the basis of projected spot FX appreciation/depreciation alone.

改的话就应该是黑体字部分,用预测汇率的升贬值(Projected appreciation or depreciation)和Forward里的升贬值比。其中这里的Projected就是指预测的汇率。


选项3,如果澳大利亚和英国相比德国spread增加,那么预期澳大利亚和英国相对德国汇率将上升,我觉得roll yield 是负的呢?”


注意Issue 3表述的是Rolling hedge产生的收益,不是指Rolling yield。

因为本题是用6个月的Forward滚动Hedge,所以他说是Rolling Hedge的收益,就是指用Forward hedge currency产生的收益,不是Rolling yield。如果求Forwad/futures的Rolling yield那可能会更复杂,Forward、futures的Rolling yield应该是2级的知识点,3级固收这里没有涉及到Forward的Rolling yield哈。


算Hedge收益,就是用Forward汇率减去Spot汇率,在处于Spot汇率,由(F-S)/ S通过Covered interest rate parity,推导出来Hedge currency的收益,近似的等于两国利率之差。

即:(F-S)/S = R1 - R2;其中Hedge成哪种货币,哪种货币的利率就在减号前面。

例如,本题将GBP收益Hedge成EUR收益,所以EUR的利率应该在减号前面:即 Hedge currency的收益 = EUR利率 - GBP利率。

这样的话,本题说德国短期利率和GBP短期利率的Spread变大,即上面公式中算出来的Hedge currency的收益变大,所以就是Issue 3表述的用Forward hedge currency的收变大。这点正确。

 

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