NO.PZ202108100100000104
问题如下:
The most appropriate response to Troubadour’s supervisor’s question regarding
the TSI forward contract is:
选项:
A.
a decrease in TSI’s share price, all else equal.
B.
an increase in the risk-free rate, all else equal
C.
a decrease in the market price of the forward contract, all else equal.
解释:
B is correct.
From the perspective of the long position, the forward value is
equal to the present value of the difference in forward prices:
Vt = PV[Ft
– F0]
where
Ft
= FV(St
+CCt
–CBt
)
All else equal, an increase in the risk-free rate before contract expiration would
cause the forward price, Ft
, to increase. This increase in the forward price would
cause the value of the TSI forward contract, from the perspective of the short,
to decrease. Therefore, an increase in the risk-free rate would lead to a loss on
the short position in the TSI forward contract
中文解析:
首先需要明确现在是远期合约的short头寸,问的是下列那种情况会产生损失。
A选项:short 远期合约,希望将来标的资产下跌。因此当标的价格下降,其他条件不变的情况下,short头寸会有gain,而不是loss;
B选项:根据公式F= S0(1 + Rf) T可知,当Rf增加,forward合约价格上升,对于short forward一方来说会产生损失;选B
C选项:作为short forward的一方,当forward价格下跌时,会有gain,而不是loss,C不能选。
因为是short,所以合约value=FP/(1+rf)^T—S0,然后因为rf增加,所以value就下降,可以这样理解吗