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临江仙 · 2023年09月03日

为什么不能用画图法呢?

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

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

1 个答案
已采纳答案

李坏_品职助教 · 2023年09月03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。


首先根据forward定价公式求出30天后的forward price Ft(T),再用Ft(T)减去初始时刻的价格1403.22,然后用无风险利率折现30天即可。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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