NO.PZ202108100100000105
问题如下:
Based on Exhibits 2 and 3, and assuming annual compounding, the per share
value of Troubadour’s short position in the TSI forward contract three months
after contract initiation is closest to:
选项:
A.
$1.6549.
B.
$5.1561.
C.
$6.6549.
解释:
C is correct.
The no-arbitrage price of the forward contract, three months after
contract initiation, is
F0.25 = FV0.25(S0.25 + CC0.25 – CB0.25)
F0.25 = [$245 + 0 – $1.50 / (1 + 0.00325)(0.5-0,25) ] (1 + 0.00325)(0.75-0.25) =
$243.8966.
herefore, from the perspective of the long, the value of the TSI forward contract is
V0.25= PV0.25 [F0.25 – F0]
V0.25= ($243.8966 – $250.562289)/(1 + 0.00325)(0.75-0.25) = –$6.6549.
Because Troubadour is short the TSI forward contract, the value of his position
is a gain of $6.6549.
中文解析:
本题考察的是t时刻求value,有重新定价法和画图法两种方法。
上述求解过程为重新定价法,即先求t=3时刻的远期合约价格F,然后和F作差后折现至t时刻即可。
如果使用画图法,与课程讲法一致:假设是long position,向上箭头表收到,向下的箭头表支出,二者相减即为所求的value。对应本题需要注意的是short头寸,因此最后求得结果需要取负号即可。
具体计算过程如下图:
exhibit3中的最后一段话有什么用