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

Maxy · 2023年10月16日

请问画图法的话为什么148也要折现呢？

  1. CFA II
  2. Derivative

NO.PZ2019010402000059

问题如下：

One months ago, Harvey took a short position in five 10-year Canadian government bond forward contracts, with each contract having a contract notional value of 100 million CAD. when the contracts were purchased, the contracts had a price of CAD 146 (quoted as a percentage of par). Now, the contracts have three months left to expiration, and have a price of CAD 148. The annualized three-month interest rate is 0.15%. The value of the forward contract is :

选项：

A.

- CAD9,996,500

B.

CAD9,996,500

C.

CAD1,999,300

解释：

A is correct

本题考察的是重新定价法求远期合约的价值。

For the long position:

Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.9993

1.9993/100 * 100,000,000 * 5= CAD9,996,500

本题求解的是short position，因此取负号为 - CAD9,996,500

148不是现值吗？我理解应该用148-PV146啊?

添加评论
1 个答案

李坏_品职助教 · 2023年10月16日

嗨，努力学习的PZer你好：


when the contracts were purchased, the contracts had a price of CAD 146，意思是刚开始的时候，远期价格是146.

Now, the contracts have three months left to expiration, and have a price of CAD 148，意思是随着时间的推移，现在还剩3个月到期，此时新的远期价格是148，所以这个148超过146的部分需要进行折现。


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

  • 1

    回答

  • 0

    关注

  • 205

    浏览
相关问题

NO.PZ2019010402000059问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500B.CA,996,500C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么这边的利率里的时间是在括号外面，而在FRA相关内容中是在括号里面，二者为什么形式不同呢

2024-02-02 18:39 1 · 回答

NO.PZ2019010402000059 问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500 B.CA,996,500 C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么要除100？

2023-11-02 23:27 1 · 回答

NO.PZ2019010402000059 问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500 B.CA,996,500 C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么不用长期国债定价公式呢FP=（FP bon*（1+r）^t-T-FVCouponunrlying是bon

2023-10-26 01:38 1 · 回答

NO.PZ2019010402000059问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500B.CA,996,500C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 如题，麻烦老师用画图法帮忙求一遍过程

2023-10-05 22:50 2 · 回答