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yewei1989 · 2021年10月19日

decline by 700000？

  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).

是将了700000，还是降到700000？

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1 个答案

Hertz_品职助教 · 2021年10月20日

嗨，爱思考的PZer你好：


同学你好~

这里是下降了700万英镑哈。

如果是下降到700万英镑，可以表述为：the value of the fund's assets has fallen to GBP 7million

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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