[三級衍生品的風(fēng)險管理] Reading17 currency options rollyield

HAIXIA 發(fā)布于：2021-06-15 09:40:20 瀏覽456次   CFA CFA三級
原版書387頁例題 question 3 and 4 Q3: buying a forward against the forward rate bias will get negative roll yield but I can not confirm the precise rate for the hedging rate at time of one month before the expiration. the spot leg use 19.5985? and the forward leg use 20.073? or because this is a matched hedging use the? mid-market rate 665bps?
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Hsiao 發(fā)布于2021-06-15 13:53:12

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