请问老师这题怎么理解，题目条件从第二句话开始都没看懂，背景条件和目的我都看不懂。麻烦逐一解释下呢，谢谢。Queensland has a short position of 60,000,000 Indian rupees (INR) in an INR/AUD forward contract that is currently due. Sebastian reviews the position with Novak and informs him that the India assets under management grew by 5%. Sebastian is concerned about the INR exposure but does not have a directional view on the exchange rate movement in the INR/USD spot rate. To hedge the risk of the INR position, Novak suggests rolling the forward contract over using a three-month currency swap and presents the data in Exhibit 2.

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您现在的坐在位置：首页>智汇问答>CFA三级

Judy2023-08-27 13:59:18

请问老师这题怎么理解，题目条件从第二句话开始都没看懂，背景条件和目的我都看不懂。麻烦逐一解释下呢，谢谢。Queensland has a short position of 60,000,000 Indian rupees (INR) in an INR/AUD forward contract that is currently due. Sebastian reviews the position with Novak and informs him that the India assets under management grew by 5%. Sebastian is concerned about the INR exposure but does not have a directional view on the exchange rate movement in the INR/USD spot rate. To hedge the risk of the INR position, Novak suggests rolling the forward contract over using a three-month currency swap and presents the data in Exhibit 2.

回答（1）

最佳

Simon2023-08-27 16:43:11

同学，上午好。这一问其实就是问，我原先short了一个forward，现在到期了，该怎么操作。

第3问思路如下：

1.期初我签了一个做空60million的INR forward，现在到期了（currently due），同时资产涨了5%（India assets under management grew by 5%），变成了63million，对冲mismatch了。

2.所以，两个操作，一是从市场上，按照spot rate，买60 INR现货，来平掉上一个的short forward。

3.以及新开一个short 63 million INR 的forward（3个月），然后我的forward rate=54.84+80/100=55.64（报价形式是AUD，我卖INR，就是买AUD，对应dealer卖AUD，使用ask价）