学习笔记 - CFA 衍生品 3

这小节聚焦currency，本质就是汇率问题，先简介一些基本概念：

FX swap transaction是买spot卖forward或相反，与字面的互换不是很一样

they are used to “roll” forward contracts forward as they mature

举例：trader who bought GBP1,000,000 one month forward against the CHF in order to set up a currency hedge

即：一个月后以新的spot卖出1M GBP，同时再买1M的一个月GPB forward，从而一直保持1个月的汇率锁定（一般是T+2，所以实操中要提前2天settle并enter新的forward）

假设原forward到期后的汇率报价：spot是 10.0200/10.0220，（new）forward报价是 125/135

（1）一开始enter forward来hedge FX，这步按正常的：需要买forward则要付10.022+0.135；需要卖forward则只能收10.02+0.125（这里为方便，假设原来的spot和forward报价也是一样）

（2）一个月后需要roll over，则要先用现在的spot来close原来的forward再enter新的forward；这时可以有自己的判断究竟是继续fully-hedge还是overhedged or underhedged：

（a）matched swap（即fully-hedged），spot用中间价10.021；forward用ask价 10.021+0.135（注意不是10.022）

（b）mismatched swap，以overhedged为例（short的外币资产的MV变大了，且同时外币升值），因为MV变大要用卖更多的spot来close，要买入比原来份数更多的forward来roll forward：

因为要买的forward份数比要卖出的spot份数多，所以应该用all-in forward的ask（是dealer在ask）价：10.022+0.135

forward用ask，那close的spot也应该用ask价：10.022

domestic-currency return on a foreign asset（）:

需要是directly quoted exchange rate（即D/F）, defined as the percentage change in the foreign currency against the domestic currency

However,this change is not always the same thing as the percentage change in the spot rate using market standard P/B quotes，因为没有考虑各变量间的correlation，认为各自独立

currency exposures provide little diversification benefit to fixed-income portfolios and that the currency risk should be hedged

better argument can be made for carrying currency exposures in global equity portfolios

上面两句结论是因为：不同于equity，债券间（哪怕不同国家的债券）的相关性较大，所以分散化较差，需要hedge

实证研究的结论，所谓safe heaven：

For non-US investors, this would mean under-hedging the currency exposure to the USD (i.e., a hedge ratio less than 100%)，

whereas for US investors it would mean over-hedging their foreign-currency exposures back into the USD

option与forward的区别：

option要upfront payment然后有权利无义务；而forward签订时无cash flow但后面需要不断roll

currency hedge的两种cost：

（1） trading cost

currency hedge may reduce the volatility of the domestic mark-to-market value of the foreign-currency asset portfolio, it will typically increase the volatility in the organization's cash accounts

One of the most important trading costs is the need to maintain an administrative infrastructure for trading

（2）opportunity cost

regret minimization，怕错过有利的汇率变动而不100%hedged，实证很多会hedge50%

主动管理程度由低至高：

Passive Hedging < Discretionary Hedging < Active Currency Management < Currency Overlay

Active currency management is often associated with what are called currency overlay programs

overlay不一定就是active management for alpha

currency overlay 与 “foreign exchange as an asset class”这两者的区别：

currency overlay limited to the currency exposures already in the foreign asset portfolio

“foreign exchange as an asset class”free to take FX exposures in any currency pair where there is value-added to be harvested, regardless of the underlying portfolio

1. Active currency management一般是基于以下3种思想：

（1）Economic Fundamentals

assume that, in a flexible exchange rate system, exchange rates are determined by logical economic relationships and that these relationships can be modeled

in the long run, the real exchange rate will converge to its “fair value,” but short- to medium-term factors will shape the convergence path to this equilibrium

（2）Technical Analysis

ignores economic analysis，主要基于三点：

（a）in a liquid, freely traded market the historical price data can be helpful in projecting future price movements
not necessary to look outside of the market to form an opinion on future price movements（即 not necessary to examine interest rates, inflation rates, or risk premium differentials (the factors in our fundamentally based model) because exchange rates already incorporate these factors）

（b） historical patterns in the price data have a tendency to repeat, and that this repetition provides profitable trade opportunities

（c）does not attempt to determine where market prices should trade (fair value, as in fundamental analysis) but where they will trade

（3）Carry Trade

a trading strategy of borrowing（sell） in low-yield currencies and investing（buy） in high-yield currencies

The term “carry” is related to what is known as the cost of carry

If technical analysis is based on ignoring economic fundamentals； then the carry trade is based on exploiting a well-recognized violation of one of the international parity conditions often used to describe these economic fundamentals: uncovered interest rate parity

forward premium/discount

本质：认为forward rate应是future spot rate的无偏估计，即落在future spot rate的分布的中心，当这种假设不成立，则会出现bias，从而有forward premium/discount

forward premium即以现在市场上的forward来预计未来的spot是过高，即被衡量的货币B被高估；forward discount则是B被低估

这与直觉以为premium就是升值，discount就是贬值正好相反

所以carry trade应该要买被低估的，卖被高估的：

Trading the forward rate bias involves buying currencies selling at a forward discount, and selling currencies trading at a forward premium

being low-yield currency 和 trading at a forward premium 同义

all else equal, lower volatility is better for a carry trade position

2. 第四种Active currency management：基于波动率的

Another type of active trading style is unique to option markets and is known as volatility trading (or simply “vol trading”)

因为是对volatility而非direction有主观判断，所以往往是delta hedge的，即组合的net delta = 0

Speculative vol traders—for example, among currency overlay managers— often want to be net-short volatility. The reason is because most options expire out of the money

Being long the option means being exposed to the time decay of the option's time value; that is similar to paying insurance premiums for the protection against exchange rate volatility

上面已有穿插介绍，currency management tool主要有3种：forward，FX swap，currency option

（1）future与forward比还是有一些劣势的，如：

Futures contracts require up-front margin (initial margin) 且期间还要cleanhouse制度不断保障margin

forward contracts are more liquid than futures for trading in large sizes 因为标准化的future对期货市场来说太多限制

Passive hedging will typically use forward contracts (rather than futures contracts) because they are more flexible

However, currency futures contracts are an option for smaller trading sizes and are frequently used in private wealth management

（2）currency options are quoted in professional FX markets：

Unlike exchanged-traded options, in the interdealer market, options are described in terms of their “delta”

standard FX option quotes usually in terms of 25-delta and 10-delta options (i.e. a delta of 0.25 and 0.10, respectively）

forward有opportunity cost，所以可以用currency option，因option可以remove this opportunity cost

（3）FX swap在本节一开始就介绍了

基本原理和主要工具介绍完就要学习如何构建有效的策略

roll yield vs. carry trade（即 trading forward rate bias ）

carry trade strategy is equivalent to a strategy based on trading the forward rate bias

roll yield原理：

时刻以 enter FX forward来hedge，假设在forward premium市场，E(s)应该是s的无偏估计，即E(s) = = ；

所以到了时刻，会发现市场上>（与forward premium市场假设一致），所以这时要以close原合同并以（）enter 新的合同，高买低卖出现negative roll yield

在contango市场，face the potential for negative roll yield

（1）相当于第一个策略：

所以carry trade应该要buy/invest in high-yield currency & sell/borrow in low-yield currency；

而trade forward rate bias则要buy/invest in forward discount currency & sell/borrow in forward premiun currency

品职的老师对此有个解释觉得很不错：

可以执行carry trade策略的条件：1.两国存在息差，2.两国汇率相对稳定（波动小）

profit = - + B升值部分（因为实际中高利率国的货币往往不贬反升值）

carry trade策略是不需要进行外汇管理的，也就是说不会使用远期合约来管理外汇风险（这也就是该策略有很大风险的一个原因）；

而roll yield更多是计算用远期进行汇率管理的情况，所以两者其实很少相比，只是刚好可以通过forward rate bias这个概念联系起来而已

carry trade 与 ride the yield curve 的区别:

carry trade 是以赚取利差为目的，通过借利率低的（一般同一种货币就是期限较短；跨货币则是利率较低的）来投资利率较高的（对于同种货币而言，投资到权限较长的产品不代表是要持有至到期）

ride the yield curve 则是以赚取capital gain为目的，一般是买到期时间长于投资周期的，到投资周期就卖出（不等到持有至到期）；一般认为是利用骑乘效应：在债券持有期间,一只债券的剩余期限也会逐渐变短,其收益率沿着收益率曲线下滑而给投资者带来的收益

固收里有一种策略”yield curve trades“是基于yield curve形状变化，而”carry trade“仍基于的是yield curve形状不变；ride the yield curve与yield curve trade不是一个概念，两者没有什么关系

（2）第二个策略（应用）：判断是否要做hedge

上面active currency management里介绍carry trade时知道

forward premium/discount

实际计算时应该：

forward premium/discount = F/E(s) - 1

例题：给出current spot、forward、forecast spot分别是0.951、0.9275、0.93，（一般汇率是直接报价D/F）

0.9275/0.951 - 1 = -2.5%，即市场预期是 forward discount

0.93/0.951-1 = -2.2%，分析师判断是外币升值（本币贬值）

forward discount其实就是expected cost of the hedge，forward premium其实就是 expected（positive）roll yield

于是现在面临选择：预计做hedge要花2.5%，而不做hedge预计会亏2.2%；两者差异不大，都是预计而已，该怎么选：

需要trade-off：the level of risk aversion of the firm vs. the conviction the firm held in the currency forecast（有多肯定自己的预测正确）

risk neutral的话应该不hedge，因为成本更高；而怕预计错误的话还是可以花0.3%来hedge当是买个保险

（3）Put Spread

核心是buy put，所以认为是short risk reversal的变式，之前学的put spread一般理解为bear spread，即买higher exercise put & 卖lower exercise put

一般这两个put的premium不一样，所以要构建zero-cost的话一般：write a larger notional amount for the deeper-OTM option（选两个exercise price接近的意义不大）

这种构建0成本期权策略的劣势：is equivalent to adding leverage to the options position, because you are selling more options than you are buying

（4）seagull spread

put spread的一种an alternative, and somewhat safer approach

核心是long put，同时short 一个call和short 一个put，特点是由at least three individual options组成

一般是long ATM put，再short OTM call & short deep-OTM put

short 'wings' 就是short seagull spread；long 'wings'就是long seagull spread，所以上面那种就是short seagull spread

（5）Exotic options

are often used by more sophisticated players in the professional trading market

一般有两种：

（a）with knock-in/knock-out features options

（b）digital options：also called binary options, or all-or-nothing options

almost akin to a lottery ticket

Hedging multiple foreign-currency：

proxy hedge removes the foreign currency risk by hedging it back to the investor's domestic currency

cross hedge moves the currency risk from one foreign currency to another foreign currency

Some types of cross hedges are often referred to as macro hedges

minimum-variance hedge ratio：

A mathematical approach to determining the optimal cross hedging ratio

是一种approach的名字，不是字面理解的hedge ratio，这种approach是用来计估计的β（即 ）

coefficient in the regression =

需要是direct quoted

typically applies only for “indirect” hedges based on cross hedging or macro hedges

minimum-variance hedge ratio is only approximate and must be closely monitored

=1.35，表示：minimum-variance hedge ratio for xxx's exposure to xxx be set at approximately 135%

basis risk：

price movements in the exposure being hedged and the price movements in the hedge instrument are not perfectly correlated

一般认为 Cross hedges and macro hedges bring basis risk into the portfolio, which will have to be monitored and managed（但其实direct hedge 也会有basis risk的）

在本节basis risk也可理解为：instability in the coefficient estimate

non-deliverable forwards (NDFs) pricing will reflect the individual supply and demand conditions (and risk premia) in the offshore market, which need not be the same as the onshore market of the specific emerging market country