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rena12 · 2020年03月06日

问一道题:NO.PZ2018111501000017 [ CFA III ]

问题如下:

Raymond, a US analyst, is managing a fund with EUR-denominated assets. The USD/EUR spot rate is 1.1338, one-year forward exchange rate is 1.1369, while Raymond forecasts the expected spot rate is 1.1315. Assume the fund performance is measured in USD, the roll yield is:

选项:

A.

0.27%

B.

-0.27%

C.

-0.20%

解释:

A is correct.

考点:roll yield

解析:目前Raymond的资产是以欧元来计价的,将来要卖欧元换美元,因此持有的远期合约是卖欧元。当前有forward premium(forward exchange rate >spot rate),所以可以定性的判断出Roll yield为正。当然也可以计算出来,Roll yield=(1.1369-1.1338)/1.1338=0.27%。

roll yield的公示不是F—S/S么?

1 个答案

xiaowan_品职助教 · 2020年03月07日

嗨,努力学习的PZer你好:


同学你好,先明确一下在同样的期现结构下,long头寸和short头寸的roll yield的相反的。 F-S/S这个公司是针对short头寸来说的。

对这道题来说,持有EUR asset,所以担心EUR贬值,那么采用的就是short USD/EUR,roll yield=F-S/S,并没有错,F就是1.1369,S就是1.1338。

这里不能用1.1315,因为这不是远期合约的价格,只是他的一个预期。


-------------------------------
努力的时光都是限量版,加油!


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