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张文文 · 2023年08月23日

老师请问这道题如果用画图法怎么做呢?

NO.PZ2023020101000005

问题如下:

Ryan Parisi is a managing director in the derivatives group at High Ridge Partners, an investment management firm. Parisi specializes in advising institutional clients on the use of forward contracts in their portfolio management strategies. Parisi is preparing a response to questions from one of the firm’s US-based clients: Leslie Sheroda. Todd Curry, an intern in the derivatives group, will assist Parisi.

Leslie Sheroda oversees both equity and fixed-income portfolios for a pension fund. One month (30 days) ago, Sheroda had indicated that the pension fund expected a large inflow of cash in 60 days. In order to hedge against a potential rise in equity values over this period, Parisi advised Sheroda to enter into a long forward contract on the UAX 300 Index expiring in 60 days.

Prior to the meeting, Parisi shows the spot price of the UAX 300 index in Exhibit 1 to Curry and asks how the 30-day forward price will relate to the current level of the index. Curry compares the spot index to the forward price.

Exhibit 1: Selected Financial Information for Sheroda Meeting

Assuming a 360-day year, the value of Sheroda’s forward contract on the UAX index is closest to:

选项:

A.

USD 52.18

B.

USD 49.16

C.

USD 50.71

解释:

The 30-day forward price is Ft(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360) = 1,452.54.

Vt(T) = PVt,T[Ft(T) – F0(T)] = e–0.0392(30/360)(1,452.54 – 1,403.22) = 49.16

老师请问这道题如果用画图法怎么做呢?

1 个答案

Lucky_品职助教 · 2023年08月24日

嗨,从没放弃的小努力你好:


这道题不适合画图法,给的数据很容易算出市场上新的合约价格,需要按照重新定价法来计算,而且重新定价法是书本上介绍的方法,画图法只是李老师介绍的一种方法,还是要多练习使用重新定价法做题哦

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