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soup · 2021年05月02日

FX hedge

I had a different angle on this question - for the AUD asset, assuming the asset value to be x in BRL in six months.


If you choose to hedge, you are locking it at at forward at 2.1523, ie, the asset will x/2.1523.


However, if you choose not to hedge, the asset will be worth at x/2.0355.


Obviously, the latter is greater than the former so there is no reason to hedge. Same logic applies for the CHF asset.


So I think my logic makes sense but not sure why I got the wrong answer.


1 个答案

Hertz_品职助教 · 2021年05月03日

嗨,努力学习的PZer你好:


同学你好~

对于AUD资产,根据表格可知,如果进行hedge,锁定的汇率是2.1523,即1 AUD=2.1523的BRL ;如果不进行hedge,则6个月后1 AUD=2.0355 BRL。同样是1单位的AUD,hedge的情况下显然可以换回更多地BRL。所以应该进行hedge。

你的理解有些偏差,注意汇率的表达形式中AUD是分母的位置,即表示1单位的AUD值多少BRL,不需要取倒数,即你计算的X/2.1523,或者X/2.0355。另外也不需要进行假设6个月后AUD资产价值为X,因为如果hedge,1AUD资产就值2.1523;如果hedge,1 AUD资产就值2.0355 BRL。

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