NO.PZ2018062007000023
问题如下:
The underlying prices of Product X and Product Y are both $10. Product X has no storage cost and convenience yield, while Product Y has a higher future value of storage cost than its convenience yield. Compared to the forward price of Product X:
选项:
A.The forward price of Product Y is smaller
B.The forward price of Product Y is equal
C.The forward price of Product Y is larger
解释:
C is correct.
The forward price is the spot price compounded at the risk-free rate over the life of the contract minus the future value of those benefits plus the future value of costs. Product Y has a higher future value of storage cost (costs) than its convenience yield (benefits), therefore the forward price of Product Y is larger than X.
对于forward合约来说,标的资产在期间的cost不会真正扣掉,所以要加回,cost带给forward price的影响是正向的;相反,在期间的benefit不会享受到,所以要扣除,benefit带给forward price的影响是负向的。题目中说Y的cost>benefit,所以总体来说给Y带来的正向影响更大,Y的forward合约价格也就更大,选C。
如果X和Y的price一样高的话,那X的value应该要大于Y,理解对吗。