开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

秋樣 · 2022年03月21日

对forward premium currency有疑惑。

NO.PZ2018113001000092

问题如下:

A fund manager observes that interest rates in the US dollar are much lower than in India and remain wide spread for a long time.

Based on this observation, describe what strategy should he take.

选项:

解释:

Answer:

In this case, Interest rates in India are higher than in the United States, so the dollar is a low rate currency or forward premium currency, the Rupee is a high rate currency or forward discount currency.

The manager should borrow from the low-rate currency and invest in the high-rate currency to earn the difference between the two countries; or invest in the forward discount currency and borrow the forward premium currency.

中文解析:

美元的利率低于印度卢比的利率,因此可以执行carry trade策略,借低利率货币投资于高利率货币,其中低利率货币又叫做forward premium currency,高利率货币又叫做forward discount currency。

老师你好,我理解的forward premium和forward discount的定义是:F>S,则roll yield>0,即有forward premium;反之则为forward discount。这里突然出现 forward premium currency 和 forward discount currency,我觉得很突兀,也不大理解。。


另外附上我对这道题的答案,请老师批改一下~谢谢!


Answer:The fund manager should use the carry trade strategy, that is, borrowing money from US and invest it in the Indian market. Meanwhile, he should also be aware that currency risks could happen, such as the depreciation of Indian currency, so the short forwards of indian currency should be adopted.

2 个答案
已采纳答案

Hertz_品职助教 · 2022年03月22日

嗨,从没放弃的小努力你好:


同学你好~

1.     同学关于forward premium和forward currency的理解没有问题;

2.     关于forward premium currency和forward discount currency的内容,何老师在roll yield那部分内容中有讲解,低利率货币叫做forward premium currency,高利率货币叫做forward discount currency。

原因是钱会大量从低利率国家涌入利率高的国家,但是将来钱最终是会从高利率国家撤走的,撤走时会抛售该国家货币,抛售导致高利率国家货币贬值,所以叫做forward discount currency,对应的低利率国家货币会升值,叫做forward premium currency。

3.     同学的答案有一点点问题,不应该写最后一句话,即删掉“ so the short forwards of indian currency should be adopted”。前面的都可以。

为什么要删掉,因为carry trade策略本身就是不作对冲这个操作的,所以我们才说carry trade的风险是比较大的。同学最后一句显然是告诉阅卷人需要做一下对冲,这是不符合该策略的,需要删掉。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

秋樣 · 2022年03月24日

谢谢老师!说得很好!

Hertz_品职助教 · 2022年03月24日

嗨,努力学习的PZer你好:


不客气~

祝学习顺利!

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

  • 2

    回答
  • 1

    关注
  • 486

    浏览
相关问题

NO.PZ2018113001000092 问题如下 A funmanager observes thinterest ratesin the US llare mulower thin Ina anremain wi sprefor a longtime. Baseon this observation, scriwhstrategyshoulhe take. Answer:In this case, Interest rates in Ina arehigher thin the UniteStates, so the llis a low rate currenorforwarpremium currency, the Rupee is a high rate currenor forwarscountcurrency.The manager shoulborrow from the low-ratecurrenaninvest in the high-rate currento earn the fferenbetweenthe two countries; or invest in the forwarscount currenanborrow theforwarpremium currency.中文解析美元的利率低于印度卢比的利率,因此可以执行carry tra策略,借低利率货币投资于高利率货币,其中低利率货币又叫做forwarpremium currency,高利率货币又叫做forwarscount currency。 funmanager shoultake carry tra between US llanIna.financing form a lower interest rates in the US llaninvesting to a higher interest rates in Ina.because wi spreremains a long time. if the market is stable, the carry tra is profitable.

2023-05-20 23:27 1 · 回答

NO.PZ2018113001000092 问题如下 A funmanager observes thinterest ratesin the US llare mulower thin Ina anremain wi sprefor a longtime. Baseon this observation, scriwhstrategyshoulhe take. Answer:In this case, Interest rates in Ina arehigher thin the UniteStates, so the llis a low rate currenorforwarpremium currency, the Rupee is a high rate currenor forwarscountcurrency.The manager shoulborrow from the low-ratecurrenaninvest in the high-rate currento earn the fferenbetweenthe two countries; or invest in the forwarscount currenanborrow theforwarpremium currency.中文解析美元的利率低于印度卢比的利率,因此可以执行carry tra策略,借低利率货币投资于高利率货币,其中低利率货币又叫做forwarpremium currency,高利率货币又叫做forwarscount currency。 老师,这样回答可以吗implement carry tra, whisuitable for large yielsprecontionborrow in US (forwarpremium currency) aninvest in Ina(forwarscount currency), earn the sprefference.

2022-08-12 17:19 1 · 回答