[求助]有关欧洲美元期货的一道题。。。请大侠帮忙

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问题大意如下： 三个月后你将会收到一笔100万美元的资产，并且it can generate a floating-rate to 6-month LIBOR. 你认为6-month US dollar interest rate 会在接下来的三个月下降。你应该如何用欧洲美元期货来hedge against interest rate risk on the floating-rate.

我的意思就是买一份三个月后到期的欧洲美元期货合约。。。 难道就这样完了 我还是觉得有问题。。。

大家说说该怎么样呢。。。

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关键词：欧洲美元 interest floating generate against 大侠 期货 帮忙 欧洲美元

个人感觉做SWAP吧，或者用OPTION也可以

以下是引用1983yx在2008-5-26 12:14:00的发言：
个人感觉做SWAP吧，或者用OPTION也可以

题目的意思是让用欧洲美元期货。。

是不是可以做一个利率互换的SWAP，将浮动利率转成固定利率。或者就是最简单的：买份三个月的期货合约。

我的意思就是买一份三个月后到期的欧洲美元期货合约==> you can't do this because the USD1 million will only be received in three months' time, doing this exposes you to interest rate risk immediately.

The answer for the question is for you to buy a "3X9 Forward Rate Agreement" (FRA)

To be more specifically, to buy a 3X9 Forward rate agreement to pay Float (floating rate) and to receive Fixed (interest rate).

To pay float because you will be receiving floating rate return from the assets and you expect the interest rate to decline after three months.

To receive fixed, because under a declining interest rate scenario, we always want to lock in the current interest rate and fixed it now.

FRA contracts are forward contracts and 3X9 FRA just means that the contract will start three months from today (to match the time where the USD1 million will be received) and ends 9 months from today (you didn't mention about the investment period for the 1 million USD to be received in 3 months time, so i assumed the investment period is 6 months just to simplify things as you mentioned 6 months LIBOR floating rate in the question).

Hope this helps!

Cheers

今儿又仔细看了一下题目，，，做人还是低调点好。。。。。。。。。。。。
1，楼主这笔资产要到三个月才能到手，，而且这笔资产还要和6M-LIBOR挂钩，也就是说其利息所得和6M-LIBOR联动。。
2，楼主对3个月后的6M-LIBOR看跌；
3，楼主指定用Eurodollar来对冲可能的利率风险；
应该如何办？
这够难回答的了-----------
1，EURODOLLAR是三个月的利率期货，只能管用到三个月后为止，至于以后的收益是没有办法用这个东东保驾护航了；
2，如果可以不用EURODOLLAR期货的话，那么，用turandot介绍的FRA,3X9正合适，但和turandot的交易方向正好相反，是卖出FRA而不是买进FRA。

turandot 发表于 2008-5-27 19:34
我的意思就是买一份三个月后到期的欧洲美元期货合约==> you can't do this because the USD1 million will only be received in three months' time, doing this exposes you to interest rate risk immediately.The answer for the question is for you to buy a "3X9 Forward Rate Agreement" (FRA)To be more specifically, to buy a 3X9 Forward rate agreement to pay Float (floating rate) and to receive Fixed (interest rate).To pay float because you will be receiving floating rate return from the assets and you expect the interest rate to decline after three months.To receive fixed, because under a declining interest rate scenario, we always want to lock in the current interest rate and fixed it now.FRA contracts are forward contracts and 3X9 FRA just means that the contract will start three months from today (to match the time where the USD1 million will be received) and ends 9 months from today (you didn't mention about the investment period for the 1 million USD to be received in 3 months time, so i assumed the investment period is 6 months just to simplify things as you mentioned 6 months LIBOR floating rate in the question).Hope this helps!Cheers

agree.

呵呵 不简单~~~

increase of LIBOR will leads a decrease of the price of Eurodollar futures. the only thing you need to do is just short the Eurodollar future since you'll earn a profit on short postion and the profit will offset your lose lead by the decrease of interest

the decrease of LIBOR will leads a increase of the price of the Eurodollar futures, the only thing you need to do is just short the Eurodollar futures since a short postion will generate a profit which will offsets your lose lead by the decrease of the interest