开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Jerry · 2020年02月28日

问一道题：NO.PZ2018113001000035

  1. CFA III
  2. Derivative

问题如下：

Consider a US-based VC firm that is calling down capital commitments and will receive CAD50 million in 30 days. The general partner decides to sell futures contracts to lock in the current USD/CAD rate. The hedge ratio is assumed to be equal to 1.

The price for the Canadian dollar futures contract is 0.7838 USD/CAD and the contract size of CAD100,000. To hedge its risk, the firm should:

选项：

A.

sell 500 future contracts.

B.

buy 500 future contracts.

C.

sell 50 future contracts.

解释：

A is correct.

考点：futures管理汇率风险

解析：

To hedge the risk of the Canadian dollar depreciating against the US dollar, the VC firm must sell

CAD 50,000,000/CAD 100,000=500 contracts

请问这里说的The hedge ratio is assumed to be equal to 1 是什么用途呢？谢谢。

添加评论
1 个答案

xiaowan_品职助教 · 2020年02月28日

嗨，爱思考的PZer你好：


同学你好，这道题目中说对冲比例是1也就100%对冲，不会留下任何方向的风险敞口，

与之对应的是over hedge（用更多forward合约） 和 under hedge （只对冲部分的头寸）


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


  • 1

    回答

  • 4

    关注

  • 681

    浏览
相关问题

NO.PZ2018113001000035 问题如下 Consir a US-baseVC firm thiscalling wn capitcommitments anwill receive CA0 million in 30 ys. Thegenerpartner cis to sell futures contracts to loin the currentUSCrate. The hee ratio is assumeto equto 1. The prifor the Canallarfutures contrais 0.7838 USCanthe contrasize of CA00,000. To hee its risk, the firm shoul A.sell 500 future contracts. B.buy 500 future contracts. C.sell 50 future contracts. A is correct.考点futures管理汇率风险解析To hee the risk of the Canallarpreciating against the US llar, the VC firm must sellC50,000,000/C100,000=500 contracts中文解析题干中说GP想通过卖出期货合约来锁定USCA汇率，加元期货的合约规模为CA00,000。因此需要的合约份数为50millionCA100,000CA500份 这题不是说gp sell，那hee就应该buy?

2024-06-22 10:18 2 · 回答

NO.PZ2018113001000035问题如下 Consir a US-baseVC firm thiscalling wn capitcommitments anwill receive CA0 million in 30 ys. Thegenerpartner cis to sell futures contracts to loin the currentUSCrate. The hee ratio is assumeto equto 1. The prifor the Canallarfutures contrais 0.7838 USCanthe contrasize of CA00,000. To hee its risk, the firm shoul A.sell 500 future contracts. B.buy 500 future contracts. C.sell 50 future contracts. A is correct.考点futures管理汇率风险解析To hee the risk of the Canallarpreciating against the US llar, the VC firm must sellC50,000,000/C100,000=500 contracts中文解析题干中说GP想通过卖出期货合约来锁定USCA汇率，加元期货的合约规模为CA00,000。因此需要的合约份数为50millionCA100,000CA500份 因为要收到receive C且给出的也是 USC说明该期货是真对加币的； 担心收到的货币变质 所以short USCAD

2024-06-12 15:26 2 · 回答

NO.PZ2018113001000035问题如下 Consir a US-baseVC firm thiscalling wn capitcommitments anwill receive CA0 million in 30 ys. Thegenerpartner cis to sell futures contracts to loin the currentUSCrate. The hee ratio is assumeto equto 1. The prifor the Canallarfutures contrais 0.7838 USCanthe contrasize of CA00,000. To hee its risk, the firm shoul A.sell 500 future contracts. B.buy 500 future contracts. C.sell 50 future contracts. A is correct.考点futures管理汇率风险解析To hee the risk of the Canallarpreciating against the US llar, the VC firm must sellC50,000,000/C100,000=500 contracts中文解析题干中说GP想通过卖出期货合约来锁定USCA汇率，加元期货的合约规模为CA00,000。因此需要的合约份数为50millionCA100,000CA500份 这道题为啥不考虑，30天后收到50mCA担心CA值，因为就要用更多的本币US获得CA。为啥不考虑这个因素？

2023-12-19 16:21 1 · 回答

请问一下老师，以下思路是哪里有问题？ 根据题意，=USFC=CA30天该企业会受到50m CA那么就应该担心CA值等同于担心US值，题目中标价方法为USCA所以应该long call on CA所以我选择了B

2020-07-17 23:30 1 · 回答

buy 500 future contracts. sell 50 future contracts. A is correct. 考点futures管理汇率风险 解析 To hee the risk of the Canallarpreciating against the US llar, the VC firm must sell C50,000,000/C100,000=500 contracts 和futures的price没关系吗？还有这题为啥futures没有beta啊？

2020-05-24 03:37 1 · 回答