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sion · 2021年03月10日

怎么看出开始是做空GBP？

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201601050100000401

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).

怎么看出开始是做空GBP？

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已采纳答案

郭静_品职助教 · 2021年03月10日

嗨，从没放弃的小努力你好：


主要是区分出哪个是本币，哪个是外币。题干中，SEK是reporting currency，说明其它币种的资产最终都会折算成SEK来衡量业绩，所以SEK是本币，管理了一个GBP的资产，GBP是外币。由于未来GBP资产的业绩都会转换成SEK来衡量，那么投资者就会担心外币资产贬值，担心贬值就会short FC forward，也就是short GBP forward。

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笑笑和啦啦 · 2022年06月26日

老师好，这里未来要转换成本币SEK，所以担心外币贬值，未来转换的少了 但是我记得之前做题也遇到过转换成本币，担心本币贬值，所以short本币 forward这种 如何判定到底是该担心哪个币种贬值呢，有没有什么规律呢 谢谢老师

lynn_品职助教 · 2022年08月24日

嗨，努力学习的PZer你好：


老师好，这里未来要转换成本币SEK，所以担心外币贬值，未来转换的少了 但是我记得之前做题也遇到过转换成本币，担心本币贬值，所以short本币 forward这种 如何判定到底是该担心哪个币种贬值呢，有没有什么规律呢 谢谢老师

这个是因为我们到国外投资，等投资赚到钱肯定是想换回本币的，怕什么，就做什么方向。之前做题也遇到过转换成本币，担心本币贬值同学估计是没有记全所有的条件，外币转换成本币，本币贬值肯定是划算的。

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