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
USD 49.16
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
画图法已经很熟悉了,为什么不能用呢?
这题能否用画图法指导?_我自己用画图法做的是错的