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Evelyn.Y · 2020年07月17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

请问一下老师，以下思路是哪里有问题？

根据题意，DC=USD，FC=CAD。30天该企业会受到50m CAD，那么就应该担心CAD升值等同于担心USD贬值，题目中标价方法为USD/CAD，所以应该long call on CAD。所以我选择了B

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xiaowan_品职助教 · 2020年07月18日

嗨，从没放弃的小努力你好：


同学你好，

这道题说30天后会收到CAD50，所以他担心的是CAD贬值，而不是升值，如果升值了，30天后他收到的资产价值升值，也就不需要对冲了。


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


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