邓同学2021-06-24 22:36:43
邓同学老师好，官网题。这个知识点我大概懂，但是这种文字描述，是不是有问题的？我不知道是我的理解有问题，还是我的英语阅读有问题，问题已经写在了截图里面，谢谢！
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Chris Lan2021-06-28 12:02:01
Chris Lan同学你好
这个题的题干描述并不全面，我无法判断这几个货币中，哪个是本币，哪个是外币。就第三点来说
根据原版书的描述，我们如果是rolling的话，应该相当于borrow FC,lend DC，因为在远期他将卖出FC，买入DC。
相当于0时点借入外币，在3个月以后还掉，在0时点借出本币，在3个月后回收这笔钱。
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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就第2点来说，relative to forward FX rates rather than on the basis of projected spot FX appreciation/depreciation alone。这句话来看，他说的是对的。
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.
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算了，我放弃这题吧，。
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hedge gain/loss = 到底的实际汇率 - forward exchange rate ？？？？以这个式子衡量最后对冲的gain和loss吗？？
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同学你好
如果从公式角度来看，远期合约到期，如果是空头，应该是收到F，支出S，所以他的pay off应该是F-S。
但这里并不是基于数学的角度来看这个问题，他是从定性的角度来看的，这是书中的原话。
关于carry trade是挺难的，我们考试其实考不了这么难，大可放心。
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多谢老师。这个题目我不准确去完全理解它了，但是我还是想知道下，它所说的hedge gain/loss ，到底指的是什么？以它的标准，怎么衡量这个gain和loss的。
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同学你好
这个就是对比如果你不对冲的情况价值是多少，再计算如果你对冲了价值是多少，两者的差值就是G、L。
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