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Amber · 2020年04月18日

问一道题：NO.PZ2018111501000019

  1. CFA III
  2. Derivative

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay. Which of the trades below will most likely satisfy Aron’s objectives at expiration?

选项：

A.

Trade 1: Buy call with 1.68 strike, sell call with 1.72 strike.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

Trade 3: Buy call with 1.60 strike, sell call with 1.72 strike.

解释：

B is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。

請問老師，這題其實是不是最好其實不用Buy Call with strike 1.60? 手中現貨是GBP，而且base currency是USD，如果未來GBP對USD升值到1.68，我手中現貨是profit的，這個call with strike price 1.60簡直浪費了，因為我根本不會執行？我現貨1.68換回USD就好了？謝謝。

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xiaowan_品职助教 · 2020年04月20日

嗨，从没放弃的小努力你好：


同学你好，他的目的是increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay ，手中的现货是不动的，另外还要以最小的初始现金支出来增加GBP的头寸，那么选择long call就是合适的。


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加油吧，让我们一起遇见更好的自己！


xiaowan_品职助教 · 2020年04月22日

同学你好，一国出口增加，那么这个国家的本币需求就会上升，本币就会倾向于升值。

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NO.PZ2018111501000019 问题如下 One of the non-EURcurrenexposures in the Portfolio is GBP. Aron frequently austs his GBPpositions baseon his short-term tacticoutlook. Aron forecasts ththe GBPwill appreciate 5% against the USover the next six months. The currentUSGrate is 1.60 (1 G= 1.60 US. Aron is consiring the six-monthEuropeoption positions with the primary objective of increasing his GBPexposure in line with his forecast, ana seconry objective of minimizing theiniticash outlay. Whiof the tras below will most likely satisfy Aron’sobjectives expiration? A.Tra 1: Buy call with 1.68 strike, sell callwith 1.72 strike. B.Tra 2: Buy call with 1.60 strike, sell callwith 1.68 strike. C.Tra 3: Buy call with 1.60 strike, sell callwith 1.72 strike. B is correct. 考点Strategies toMofy Risk anLower Heing Costs解析预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。 1.72 更难实现，不是应该卖这个吗？

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