珊同學(xué)
2022-05-10 19:31CFA網(wǎng)站上的題目：The fund owns 10,000 shares of Inwood Industries, Inc., which is currently trading at US$100.00. Bennett believes that Inwood’s next five quarterly earnings reports will miss consensus estimates but, longer term, there is value in the equity given the company’s strong backlog of new products. The shares are very illiquid to trade, so Tryon wants to hedge the position over this time frame without selling the shares. Park suggests three total return equity swaps for Tryon to consider. Question Which type of total return swap is Tryon most likely to use given his view on Inwood stock equity? Buy a one-year: cash-settled total return payer swap. cash-settled total return receiver swap. physically settled total return payer swap. 為什么選cash-settled total return payer？payer是指付固定，收浮動；我預(yù)計到浮動的收入會降低，應(yīng)該想要收固定，付浮動去對沖。我認(rèn)為應(yīng)該選receiver swap。
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2022-05-11 11:46
該回答已被題主采納
同學(xué)您好
因為主人公是短期看空，而且不想賣出股票。
短期看空就應(yīng)該支equity return。不想賣出就要cash-settled。
這里的total return payer swap是指支付total return的意思。
您說的這個意思是swaption中的payer和receiver。swaption是有權(quán)利進(jìn)入一個利率互換。因此這里的payer receiver是指固定端利率。
但這個題是total return swap，并不是swaption。
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