Jesse2019-05-28 11:14:20
JesseMock72, 第28题: 1) 题干Exhibit 1, 表中at maturity, 6m-fwd价格-27.0/-26.2表达什么含义? 是之前fwd的spot-price, 还是该时点一份新6m-fwd的价格? 2) rolling 6m-fwd的过程, 答案不清楚, 下述正确吗? 请检查, 谢谢 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.
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Sinny2019-05-29 09:24:59
Sinny同学你好，-27/-26.2指的是bid ask spread，针对的是六个月的forward约定的汇率，就是期初签订的forward的约定价格
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依据原文答案: 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. 我明白定性判断, 但麻烦请计算解释说明, 为什么sell low, buy even higher???
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同学你好，rolling的意思是我六个月之后到期，那么我都进入一个月的forward，每次到期然后在进入新的forward，直到到期
由于不断的进入新的合约，汇率呈现上涨趋势，因此逐步成本会上升，出现sell low，buy even higher的情况
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