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skcygbb · 2019年12月04日

问一道题:NO.PZ2019103001000062

问题如下图:

    

选项:

A.

B.

C.

解释:


请问,A选项,如果forward签成payGBP receive EUR 虽然 hedge了汇率风险 是不是也就没有return了啊? 

1 个答案

发亮_品职助教 · 2019年12月05日

嗨,努力学习的PZer你好:


"A选项,如果forward签成payGBP receive EUR 虽然 hedge了汇率风险 是不是也就没有return了啊? "


不会的,仍然有Return。而且换了方向之后,这就是一个标准的Currency-neutral、Duration neutral的Carry trade。


如果把Foward换成了Pay GBP Receive EUR,是把Hedge GBP into EUR,根据Covered interest rate parity,将GBP hedge成EUR,Foward带来的收益为:

也就是我们支出GBP现金流、收到EUR现金流。

因为我们签订的是一个6-month的Forward,所以Foward定价公式里的Rate是6个月的Rate,也就是说用Foward hedge,我们支出的是6-month GBP利率、收到的是6-month EUR利率;

那A选项的总头寸就为:投资3-year UK bond、支出3-year German EUR利率;Foward带来的:支付6-month GBP利率,收到6-month EUR利率;

整理一下就是:

UK市场:投资3-year、支付6-month

EUR市场:收到6-month、支3-year

这样的话,这就是在UK市场上,借短期6-month、投长期3-year,赚取息差;在German(EUR)市场,借长期3-year、投短期6-month,构建负的Duration组合,和UK市场的正Duration结合形成Duration-neutral策略。

所以,把A选项的Foward换个方向之后,就是标准的:Currency-neutral/Duration neutral的Carry trade。

 


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