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