速寫 Day24

來源：赤倉

今天著重在骨架正確性。
一方面是想要休息一下。
(昨天畫得太認真了哈哈，今天偷懶一下)。

啊說到骨架。
Luna幣跌爆。
短短幾天從90美元跌至不到1美元。
說是算法穩定幣UST面臨信心危機，強大賣壓瘋狂擠兌
導致維持穩定的對應幣LUNA爆跌。
背後邏輯就是當UST與美金脫鉤
系統跟不上賣壓
引發更多持有者脫手。

而UST稱作算法穩定幣的原理是
LUNA基金會在UST幣值下跌時
會開始賣出LUNA購入UST保持穩定。
有點類似利用兩種貨幣浮動，
透過不斷交易維持幣值穩定。

但因為UST持續下跌脫鉤
不斷變賣LUNA使LUNA價值下跌
又更難買入足夠UST穩定價格了。
最終，賣出更多的LUNA，使LUNA跌爆。

但是事實上，我完全不清楚。
這次的事件我也只是看了人家的文章分析而已。
因為我自己是有學區塊鍊底層邏輯(一部分)。
而我一直覺得虛擬貨幣、NFT等新投資標的
當然不是到騙局
這些立意出發點都是好的。
但我覺得泡泡有點吹得太過了。
而且風險真的很難評估啊！

去中心化有去中心化的好處，那是肯定。
可是這也不就代表著它的趨勢更難預測了嗎？
2018年幣圈血洗就已經可以知道了
虛擬貨幣的風險與不穩定性是多麼恐怖。
反正我自己是覺得
我對它沒有興趣，
也沒有對各個虛擬貨幣做深入的研究
就不要隨便進場。

他人恐懼我貪婪
他人小虧我破產
平穩過日就好了真的><

1. The asset in the existing position is often not the same as that underlying the futures.
1. The hedging horizon may not match perfectly with the maturity of the futures contract.
1. The difference btw the spot price and the futures delivery price will change.

Optimal Hedge ratio \(= \rho_{S,F}\dfrac{\sigma_S}{\sigma_F}\)
\( \rho= \dfrac{Cov_{S,F}}{\sigma_S \sigma_F} \)
\(\dfrac{Cov_{S,F}}{\sigma_S \sigma_F}\times \dfrac{\sigma_S}{\sigma_F}=\dfrac{Cov_{S,F}}{\sigma_{F}^2}=\bf \beta_{S,F} \)
Optimal Hedge ratio \(=\beta_{S,F} \)

\(Number\space of\space contracts = \beta_{portfolio} \times (\dfrac{portfolio\space value}{futures \space price \times contract \space multiplier})\)
Tailing the Hedge: In order to correct for the possibility of overhedging, should multiply the hedge ratio by the daily spot-price-to-futures-price ratio.
Hedging an existing equity portfolio with index futures is an attempt to reduce the systemic risk of the portfolio.

Let \(\beta^*\) be our target beta after we implement the strategy with index futures.
\( number \space of \space contracts = (\beta^*-\beta)\dfrac{P}{A} \)

rolling the hedge forward is so-called stack and roll strategy.
As a maturity date approaches, the hedger must close out the existing position and replace it with another contract with a later maturity. This leads to be exposed to the basis risk of a new position, so-called rollover basis risk.

Forward quotes are quoted as points that are multiplied by 0.0001, and then add to or subtracted from the spot quote.
Futures quotes are the inverse of forward quotes. (e.g., forward quote USDEUR of 0.87 would be quoted as a futures quote of 1.1494 (= 1/0.87) USD per EUR.)

1. Transaction Risk.
1. Translation Risk: occurs when the financial statements in a foreign currency must be converted to a domestic currency. Depending on the translation method used (based on the accounting rules), there will be foreign exchange gains or losses.
1. Economic Risk: occurs when currency volatility affects the firm’s cash flows, which is less directly measurable.

Purchasing Power Parity states that changes in exchange rates should exactly offset the price effects of any inflation differential btw the two countries.
PPP may be correct in the long term, but there are major discrepancies (差異) from PPP in the short term.
%\( \Delta S\space(change\space in\space domestic\space spot\space rate)=inflation(foreign)-inflation(domestic) \)
Fisher equation: \(nominal\space interest\space rate=real\space interest\space rate+expected\space inflation\space rate(by\space linear\space approximation)\)

Interest rate parity equation: \(forward=spot\times [\dfrac{1+quote\space currency\space rate}{1+base\space currency\space rate}]^T\)
Covered interest rate parity (CIRP) focuses on forward exchange rates as a function of spot rates and the risk-free domestic and foreign rates.
Uncovered interest rate parity (UCIRP) states that the same rate of return should be earned in any currency when all expected exchange rate movements are accounted for.
Assuming both CIRP and UCIRP hold, then the forward rate should be the same as the expected future spot rate.

我會繼續努力的。