开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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？


添加评论
1 个答案
已采纳答案

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。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 310

    浏览
相关问题

NO.PZ2023020101000002 问题如下 RyParisi is a managingrector High Rie Partners, investment management firm whose clientbase is primarily US pension fun. He specializes in aising institutionalclients on the use of rivatives in their portfolio management strategies.Parisi is preparing for a meeting with his client Leslie Shero who managesthe Quantum pension funLeslie Shero overseesboth equity anfixeincome portfolios for Quantum. She haskeParisi toassist her in evaluating the rivatives positions helin the pension funShero asks Parisi to provi some backgrounon rivative contracts. Parisimakes the following comments:Whiof the commentsthParisi makes to Shero scribing rivative contracts is least likelycorrect? A.Comment 2 B.Comment 3 C.Comment 1 Parisi is incorrewith regarto Comment 2. a result of the no-arbitrage approach, when the forwarcontrais establishe the forwarpriis negotiateso ththe market value of the forwarcontraon the initiation te is zero. 老师，我不太明白comment 3 ， pri怎么是使value=0 的价格？ 然后，我看了下面的，什么是交割价格？ 是Fixerate ？ 使value为0 的远期价格是 FP么？ Quoteforwar关的price有两个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。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。Unquote

2024-08-18 08:09 1 · 回答

NO.PZ2023020101000002 问题如下 RyParisi is a managingrector High Rie Partners, investment management firm whose clientbase is primarily US pension fun. He specializes in aising institutionalclients on the use of rivatives in their portfolio management strategies.Parisi is preparing for a meeting with his client Leslie Shero who managesthe Quantum pension funLeslie Shero overseesboth equity anfixeincome portfolios for Quantum. She haskeParisi toassist her in evaluating the rivatives positions helin the pension funShero asks Parisi to provi some backgrounon rivative contracts. Parisimakes the following comments:Whiof the commentsthParisi makes to Shero scribing rivative contracts is least likelycorrect? A.Comment 2 B.Comment 3 C.Comment 1 Parisi is incorrewith regarto Comment 2. a result of the no-arbitrage approach, when the forwarcontrais establishe the forwarpriis negotiateso ththe market value of the forwarcontraon the initiation te is zero. 老师，commen1 为什么对啊？ 我纠结它不该说是value啊？

2023-08-26 10:51 1 · 回答