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luojy · 2023年07月10日

解析看不懂

  1. CFA II
  2. Derivative

NO.PZ2023020101000007

问题如下：

Parisi proceeds to review an equity forward contract held by Quantum. The contract was initiated thirty days ago when the fund expected a large inflow of cash in 60 days. In order to hedge against a potential rise in equity values over this period, Quantum entered into a long forward contract on the UAX 300 Index expiring in 60 days. Sheroda tells Parisi that she estimates the current price of this contract to be USD 1457.38. Parisi collects the information in Exhibit 1 for his review.

Exhibit 1 Selected Financial Information for UAX 300 Forward Contract

Based on the data in Exhibit 1, and given Sheroda’s value of the UAX 300 forward contract, the arbitrage profit is most likely to be:

选项：

A.

greater than zero.

B.

less than zero.

C.

zero.

解释：

The forward contract on the UAX 300 was entered into 30 days ago at a price of 1,403.22. Currently, with 30 days remaining on the contract, the value is

F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360) = 1,452.54

An arbitrageur would sell the futures contract, buy the underlying, and earn a risk-free profit of 4.84.

题目问的看不懂，解析也看不懂，请老师详解

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1 个答案

Lucky_品职助教 · 2023年07月12日

嗨，努力学习的PZer你好：


根据题目中的描述和给出的数据，可以得出以下信息：

  • 该基金在30天前预期60天后将有大量现金流入，并为了对冲可能在此期间股价上涨的风险，参与了一笔以UAX 300指数为标的物、有效期为60天的多头远期合约。
  • Sheroda估计这个合约的当前价格为1457.38美元。
  • 在展示1中给出了有关UAX 300远期合约的一些财务信息。

根据展示1中的数据，以及Sheroda给出的UAX 300远期合约的价值，最可能的套利利润是：

A. 大于零。

B. 小于零。

C. 等于零。

解释：

根据给出的数据，该基金在30天前以1,403.22美元的价格进入了UAX 300的远期合约，当前剩余30天到期时间。根据远期定价公式，合约的当前价值为：

F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360) = 1,452.54

一个套利者会卖出期货合约，买入标的物，并获得无风险利润4.84美元。

因此，答案是A. 大于零，存在套利利润。

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