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莉莉 · 2022年04月07日

请问BRL/AUD的six-month forward rate 大于six-month forecast spot rate就意味着AUD在6个月后会升值吗？AUD在6个月后会升值，那么为什么不用under-hedge AUD这样能够从该货币未来的升值中获益？

  1. CFA III
  2. Derivative

NO.PZ2018111501000021

问题如下：

Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.

Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:

选项：

A.

under-hedge AUD and over-hedge CHF.

B.

over-hedge AUD and not hedge CHF.

C.

under-hedge CHF and not hedge AUD.

解释：

B is correct.

考点：Tools of Currency Management: Forward

解析：用forward contracts对冲外汇风险，对冲的是卖AUD和CHF的外汇风险，所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率（即不用合约锁定的汇率），2.1523>2.0355，所以应当hedge AUD，锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF， 2.4641<2.5642, 所以不hedge时，卖CHF的价格更高。

请问BRL/AUD的six-month forward rate 大于six-month forecast spot rate就意味着AUD在6个月后会升值吗？AUD在6个月后会升值，那么为什么不用under-hedge AUD这样能够从该货币未来的升值中获益？

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1 个答案

Hertz_品职助教 · 2022年04月07日

嗨，努力学习的PZer你好：


同学你好~

判断升值还是贬值，比较的是第二列和第四列的数据，即比较的是当前的汇率和预测的6个月后的汇率。注意和远期合约约定的汇率没有关系。

因此，对于AUD来说，预测的6个月后汇率是低于当前汇率的，所以AUD是贬值的。因此应该做hedge,且通过over hedge可以带来更高的收益。

同理，对于CHF来说，也是比较第二列和第四列，因此可以判断出CHF是升值的，因此应该选择不hedge或者说是under hedge.

综上，只有B是正确的。

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

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