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moon · 2022年08月02日

题目里面说现在是100%hedge,carry trade不是适合不对冲情况下套利吗?

* 问题详情,请 查看题干

NO.PZ201601050100001503

问题如下:

Identify two strategies Delgado should use to earn a positive roll yield. Describe the specific steps needed to execute each strategy.


选项:

解释:


Given that the base currency (the US dollar) is trading at a forward premium, the hedge requires the sale of US dollar forward, resulting in a positive roll yield. The concept of roll yield is very similar to forward rate bias and the carry trade. Here, Delgado is suggesting a strategy to pursue when there is a negative roll yield, because a hedger trading against the forward bias would be buying US dollars at a forward premium instead of selling them. The carry trade strategy of borrowing in low-yield currencies and investing in high-yield currencies is equivalent to trading the forward rate bias, not against it.

中文解析:

基于整个题干的背景可知:本币是EUR,外币是USD。因此担心外币贬值,需要short forward on EUR/USD(也就是解析里面说的base currency应该是USD)

现在美元存在远期溢价,即F>S,所以short forward on EUR/USD的头寸,计算roll yield=F-S/S也会有正的收益。

另外因为美元的利率低于欧元的利率,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。

题目里面说现在是100%hedge,carry trade不是适合不对冲情况下套利吗?

1 个答案

Hertz_品职助教 · 2022年08月03日

嗨,从没放弃的小努力你好:


同学你好

烦请同学仔细看一下题目,题干中没有说现在是百分百做了对冲的。

本题是R10课后题33-35题这个case中的35题,即最后一问。

看一下下面第一张图是整个题干,也只是 他考虑做对冲,于是有了33题的问题;

第二张图是34题对应的题干,也是说假设做了完全的对冲;

第三张图是本题对应的题干,并没有说做了对冲。

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努力的时光都是限量版,加油!

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