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小贝 · 2020年08月25日

问一道题：NO.PZ201601050100000401

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

问题如下：

1. To rebalance the SEK/GBP hedge, and assuming all instruments are based on SEK/GBP, Björk would buy:

选项：

A.

GBP 7,000,000 spot.

B.

GBP 7,000,000 forward to December 1.

C.

SEK 74,812,500 forward to December 1.

解释：

B is correct.

The GBP value of the assets has declined, and hence the hedge needs to be reduced by GBP 7,000,000. This would require buying the GBP forward to net the outstanding (short) forward contract to an amount less than GBP 100,000,000.

A is incorrect because to rebalance the hedge (reduce the net size of the short forward position) the GBP must be bought forward, not with a spot transaction.

C is incorrect because the GBP must be bought, not sold. Buying SEK against the GBP is equivalent to selling GBP. Moreover, the amount of SEK that would be sold forward (to buy GBP 7,000,000 forward) would be determined by the forward rate, not the spot rate (7,000,000 × 10.6875 = 74,812,500).

没看懂，持有的是英镑计价的资产，应该担心英镑价格下跌就short了1亿份forward，然后还有几个月到期的时候，资产的价格真的跌了，不应该追加short英镑的头寸吗，为什么变成buy forward了呢？不是应该继续short forward等价于long sek么

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1 个答案

xiaowan_品职助教 · 2020年08月25日

嗨，从没放弃的小努力你好：


同学你好，

因为我们hedge是为了对冲风险，而不是追求更大收益，所以理想的状态就是有多少现货，对匹配多少相反反向的forward合约，

现在资产价格跌了，等于说现货头寸减少了，那么用来对冲风险的合约也要减少。


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


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