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Annie彧 · 2023年08月27日

Statement 2

  1. CFA III
  2. Derivative

NO.PZ2022123002000020

问题如下：

Gehlot asks Chlapowski to provide input regarding foreign exchange management. Chlapowski presents spot and forward rates in Exhibit 3. She also states:

Statement 1: A positive roll yield could be created in Dong’s portfolio by selling a USD/EUR forward contract.

Statement 2: A positive roll yield could be created in Dong’s portfolio by selling a CHF/USD forward contract.

Exhibit 3 Spot and Forward Rates

Identify which of Chlapowski’s statements is most likely to be correct based on the information provided in Exhibit 3. Calculate the forward premium or discount for each statement.

选项：

解释：

Correct Answer:

Statement 1 is correct.

Dong’s portfolio is 45% invested in German assets. USD/EUR is selling at a forward premium of 5.3% compared to the current spot rate. Dong can sell the base currency at a higher price than the current spot rate, creating a positive roll yield.

Forward premium = (1.2/1.14) – 1 = 5.3%

Statement 2 is incorrect.

CHF/USD is not in direct quote format, so the quote must be converted into a direct quote to calculate forward premium or discount.

USD/CHF spot rate = 0.99

USD/CHF six-month forward rate = 0.952

USD/CHF is trading at a discount of 3.83% and selling CHF would create a negative roll yield for Dong’s portfolio.

Forward discount = (0.952/0.99) – 1 = 3.83%

所以Statement 2里面应该是Sell USD/CHF，对吗？这样才可以判断出statement 2 incorrect。

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1 个答案

pzqa31 · 2023年08月28日

嗨，爱思考的PZer你好：


是的，要先把汇率转化成USD/CHF的形式。

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