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SUN · 2020年05月24日

问一道题：NO.PZ2018113001000035 [ CFA III ]

  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

和futures的price没关系吗？ 还有这题为啥futures没有beta啊？
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已采纳答案

xiaowan_品职助教 · 2020年05月25日

嗨，从没放弃的小努力你好：


同学你好，

第一个问题：

因为这道题contract size包括货币单位CAD，表示一份合约是100,000CAD，且需要对冲的资本总额的货币单位也是CAD，所以不用再进行汇率转换。

第二个问题：

题目没有明确说的话我们会认为期货合约beta就是1，在这道题目中从概念理解，直接根据市值匹配完全对冲需要的合约即可，

如果一定要套用公式也是一样的，目标是组合不受汇率影响，目标beta就是0，[（0-1）/1]*(50million/0.1million)=-500，也是sell500份合约


-------------------------------
加油吧，让我们一起遇见更好的自己！


SUN · 2020年05月26日

谢谢

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