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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?

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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。


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努力的时光都是限量版，加油！

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