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洋葱头 · 2023年10月03日

这题是哪个知识点？为什么折现用的e 而不是1/（1+3.92%/6）？

  1. CFA II
  2. Derivative

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

如题 这个知识点基础班视频哪里有？折现为什么用e？

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1 个答案

pzqa35 · 2023年10月04日

嗨，努力学习的PZer你好：


此题考察的是Equity forward的valuation，这个知识点在基础班equity forward and futures contracts:Equity index中有过详细的讲解，因为此时使用的是forward contract on the UAX 300 Index，所以应该用连续的利率进行折现。

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努力的时光都是限量版，加油！

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