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SHAO · 2023年10月07日

老师，请问远期合约价格

  1. CFA II
  2. Derivative

NO.PZ2023020101000002

问题如下：

Ryan Parisi is a managing director at High Ridge Partners, an investment management firm whose client base is primarily US pension funds. He specializes in advising institutional clients on the use of derivatives in their portfolio management strategies. Parisi is preparing for a meeting with his client Leslie Sheroda who manages the Quantum pension fund.

Leslie Sheroda oversees both equity and fixed-income portfolios for Quantum. She has asked Parisi to assist her in evaluating the derivatives positions held in the pension fund. Sheroda asks Parisi to provide some background on derivative contracts. Parisi makes the following comments:

Which of the comments that Parisi makes to Sheroda describing derivative contracts is least likely correct?

选项：

A.

Comment 2

B.

Comment 3

C.

Comment 1

解释：

Parisi is incorrect with regard to Comment 2. As a result of the no-arbitrage approach, when the forward contract is established, the forward price is negotiated so that the market value of the forward contract on the initiation date is zero.

远期合约在0时刻value=0，期间和期末value一直变化，就是max（0，s-x或x-s）。但是期初和期间、期末的price呢？


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李坏_品职助教 · 2023年10月07日

嗨，努力学习的PZer你好：


forward相关的price有两个：

  1. 交割价格：期初签订远期合约时确定的交割价格是永远不变的。
  2. 远期价格：这是使的远期合约价值为0时的交割价格。由于后续value会产生变动，那么签订合约后，远期价格也是变化的，但一般不会变为负数。

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努力的时光都是限量版，加油！

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2024-08-18 08:09 1 · 回答

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2023-08-26 10:51 1 · 回答