Jesse
2019-05-28 11:14Mock72, 第28題: 1) 題干Exhibit 1, 表中at maturity, 6m-fwd價(jià)格-27.0/-26.2表達(dá)什么含義? 是之前fwd的spot-price, 還是該時(shí)點(diǎn)一份新6m-fwd的價(jià)格? 2) rolling 6m-fwd的過程, 答案不清楚, 下述正確嗎? 請檢查, 謝謝 At initiation for hedging, sell euro at 1.3935- 0.019= 1.3916; At maturity for settlement, buy euro at spot price 1.4289; For next rolling fwd: sell another 6m-fwd euro at 1.4189- 0.027= 1.4162.
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Sinny助教
2019-05-29 09:24
該回答已被題主采納
同學(xué)你好，-27/-26.2指的是bid ask spread，針對的是六個(gè)月的forward約定的匯率，就是期初簽訂的forward的約定價(jià)格
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追問
依據(jù)原文答案: Since the euro has appreciated by the time the hedge needs to be extended, this tends to further increase the cost of euros to settle the original contract and makes the roll yield even more negative—that is, sell low, buy even higher. 我明白定性判斷, 但麻煩請計(jì)算解釋說明, 為什么sell low, buy even higher???
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追答
同學(xué)你好，rolling的意思是我六個(gè)月之后到期，那么我都進(jìn)入一個(gè)月的forward，每次到期然后在進(jìn)入新的forward，直到到期
由于不斷的進(jìn)入新的合約，匯率呈現(xiàn)上漲趨勢，因此逐步成本會(huì)上升，出現(xiàn)sell low，buy even higher的情況
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