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小蜜蜂jj1 · 2023年03月25日

NO.PZ2021061002000063

问题如下:

A client owns 1,000 common non-dividend-paying shares of K company, at a spot price of AUD124 per share. The client enters into a forward commitment to sell all the position in three months at a price of AUD 128.4.

Which of the following market events is most likely to result in the greatest loss in the forward contract MTM value from the client’s perspective?

选项:

A.

The rise in the risk-free interest rate.

B.

A fall in the risk-free interest rate.

C.

An immediate decline in the VIVU spot price following contract inception.

解释:

中文解析:

根据题干可知,客户想要通过远期合约在3个月后减少持有的股票头寸,因此他应该进入的是short forward头寸。

Short forward头寸下,MTM value = F0(T)/(1+r)T-t - St

由上式可以看到:无风险利率上涨会使得MTM value下降,也就是会产生loss。因此选A

而股票价格下跌,以及无风险利率的下跌会使得MTM value增加。

何时可以用F0(T)=ST(1+r)T次方呢,期初算价格的时候用吗?

F0T和ST分别是什么意思呢?感觉分不太清楚


1 个答案

Lucky_品职助教 · 2023年03月25日

嗨,爱思考的PZer你好:


F0T是forward 合约在0时刻确定的T时刻的交割价格

ST是标的物在T时刻的真实价格

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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