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黄路迦 · 2023年04月06日

exhibit3中的最后一段话有什么用

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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

1 个答案

Lucky_品职助教 · 2023年04月09日

嗨,爱思考的PZer你好:


the market price of the TSI equity forward contract is equial to the no-arbitrage foward price,这句话指的是在t=3个月时刻,现在市场的6个月到期的forward contract约定的forward price满足无套利原则,也就是说我们现在签一个3个月到期的forward contract的话,value=0.但是题目让我们求的是三个月前签的合约的value。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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