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.
an increase in the risk-free rate, all else equal
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。
根据课后题老师的说法，对于空头short来说，FP下降才能获利得到profit，FP上升会产生loss。
但是从整个pofit的角度， 麻烦老师看看理解对不对？
long 头寸profit = St - FP St上涨或者FP下跌产生利润？
short 头寸profit = FP- St FP上涨或者St下跌产生利润？
