鄧同學(xué)
2021-06-24 22:36老師好，官網(wǎng)題。這個(gè)知識(shí)點(diǎn)我大概懂，但是這種文字描述，是不是有問(wèn)題的？我不知道是我的理解有問(wèn)題，還是我的英語(yǔ)閱讀有問(wèn)題，問(wèn)題已經(jīng)寫在了截圖里面，謝謝！
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2021-06-28 12:02
該回答已被題主采納
同學(xué)你好
這個(gè)題的題干描述并不全面，我無(wú)法判斷這幾個(gè)貨幣中，哪個(gè)是本幣，哪個(gè)是外幣。就第三點(diǎn)來(lái)說(shuō)
根據(jù)原版書(shū)的描述，我們?nèi)绻莚olling的話，應(yīng)該相當(dāng)于borrow FC,lend DC，因?yàn)樵谶h(yuǎn)期他將賣出FC，買入DC。
相當(dāng)于0時(shí)點(diǎn)借入外幣，在3個(gè)月以后還掉，在0時(shí)點(diǎn)借出本幣，在3個(gè)月后回收這筆錢。
Covered Interest Arbitrage implies that the manager is effectively borrowing at a three-month floating rate in the foreign currency, is lending at a three-month floating rate in his base currency, and is long the foreign yield curve out to 10 years. To a first approximation, changes in the spot FX rate will have no impact on the return.29 But the rolling hedge will generate a profit (loss) if the spread between the three-month base currency rate and the three-month foreign currency rate increases (decreases) over time. Thus, the currency hedge introduces a bet on the spread at the short end of the curves.
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追答
就第2點(diǎn)來(lái)說(shuō)，relative to forward FX rates rather than on the basis of projected spot FX appreciation/depreciation alone。這句話來(lái)看，他說(shuō)的是對(duì)的。
When all assets are hedged into a common currency, the portfolio’s base currency becomes irrelevant for inter-market decisions. The best assets are the best assets regardless of one’s base currency. Given a choice of assets, currency exposure decisions should be based on projected appreciation or depreciation relative to forward FX rates rather than on the basis of projected spot FX appreciation/depreciation alone. This approach ensures proper accounting for the cost/benefit of adding or eliminating currency exposure. -
追問(wèn)
算了，我放棄這題吧，。
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追問(wèn)
hedge gain/loss = 到底的實(shí)際匯率 - forward exchange rate ？？？？以這個(gè)式子衡量最后對(duì)沖的gain和loss嗎？？
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追答
同學(xué)你好
如果從公式角度來(lái)看，遠(yuǎn)期合約到期，如果是空頭，應(yīng)該是收到F，支出S，所以他的pay off應(yīng)該是F-S。
但這里并不是基于數(shù)學(xué)的角度來(lái)看這個(gè)問(wèn)題，他是從定性的角度來(lái)看的，這是書(shū)中的原話。
關(guān)于carry trade是挺難的，我們考試其實(shí)考不了這么難，大可放心。 -
追問(wèn)
多謝老師。這個(gè)題目我不準(zhǔn)確去完全理解它了，但是我還是想知道下，它所說(shuō)的hedge gain/loss ，到底指的是什么？以它的標(biāo)準(zhǔn)，怎么衡量這個(gè)gain和loss的。
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追答
同學(xué)你好
這個(gè)就是對(duì)比如果你不對(duì)沖的情況價(jià)值是多少，再計(jì)算如果你對(duì)沖了價(jià)值是多少，兩者的差值就是G、L。
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