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lcrcp3 · 2023年10月21日

如题

  1. CFA II
  2. Derivative

NO.PZ2023020101000007

问题如下：

Parisi proceeds to review an equity forward contract held by Quantum. The contract was initiated thirty days ago when the fund expected a large inflow of cash in 60 days. In order to hedge against a potential rise in equity values over this period, Quantum entered into a long forward contract on the UAX 300 Index expiring in 60 days. Sheroda tells Parisi that she estimates the current price of this contract to be USD 1457.38. Parisi collects the information in Exhibit 1 for his review.

Exhibit 1 Selected Financial Information for UAX 300 Forward Contract

Based on the data in Exhibit 1, and given Sheroda’s value of the UAX 300 forward contract, the arbitrage profit is most likely to be:

选项：

A.

greater than zero.

B.

less than zero.

C.

zero.

解释：

The forward contract on the UAX 300 was entered into 30 days ago at a price of 1,403.22. Currently, with 30 days remaining on the contract, the value is

F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360) = 1,452.54

An arbitrageur would sell the futures contract, buy the underlying, and earn a risk-free profit of 4.84.


0，30，60明明有三个时间点，是涉及到t的，为什么不用最下面value那个公式？

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已采纳答案

pzqa35 · 2023年10月23日

嗨，爱思考的PZer你好：


第三个公式是股指远期的估值公式，就是我们在到期之前，站在t时刻看手上的forward价值是多少时使用的公式哈。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa35 · 2023年10月23日

嗨，从没放弃的小努力你好：


本题考察的是股票指数的套利。套利的本质就是同一个东西价格不一样，通过低买高卖来赚取差价，所以这道题的考察就是股指的定价，所以我们应该选择的是定价公式，也就是同学图片中的倒数第二个公式：

F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360) = 1,452.54

根据计算我们知道这个股指的理论价格应该是1452.54，但它在市场上的价格是1457.38，所以存在差价4.84.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

lcrcp3 · 2023年10月23日

那什么情况下用第三个公式？

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NO.PZ2023020101000007问题如下 Parisi procee to reviewequity forwarcontrahelQuantum. The contrawinitiatethirtyys ago when the funexpectea large inflow of cash in 60 ys. In orr tohee against a potentirise in equity values over this perio Quantumentereinto a long forwarcontraon the U300 Inx expiring in 60 ys.Shero tells Parisi thshe estimates the current priof this contratoUS1457.38. Parisi collects the information in Exhibit 1 for his review.Exhibit1 SelecteFinanciInformation for U300 ForwarContractBaseon the ta in Exhibit 1, angiven Shero’svalue of the U300 forwarcontract, the arbitrage profit is most likelyto be: A.greater thzero.B.less thzero.C.zero. The forwarcontraon the U300 wenterento 30 ys ago a priof 1,403.22. Currently, with 30 ys remaining onthe contract, the value isF0(T)= S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360)= 1,452.54arbitrageur woulsell the futures contract,buy the unrlying, anearn a risk-free profit of 4.84. 可以使用画图法其中每一个数据是如何使用的吗？

2024-10-12 23:58 1 · 回答

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2024-07-24 20:06 1 · 回答

NO.PZ2023020101000007 问题如下 Parisi procee to reviewequity forwarcontrahelQuantum. The contrawinitiatethirtyys ago when the funexpectea large inflow of cash in 60 ys. In orr tohee against a potentirise in equity values over this perio Quantumentereinto a long forwarcontraon the U300 Inx expiring in 60 ys.Shero tells Parisi thshe estimates the current priof this contratoUS1457.38. Parisi collects the information in Exhibit 1 for his review.Exhibit1 SelecteFinanciInformation for U300 ForwarContractBaseon the ta in Exhibit 1, angiven Shero’svalue of the U300 forwarcontract, the arbitrage profit is most likelyto be: A.greater thzero. B.less thzero. C.zero. The forwarcontraon the U300 wenterento 30 ys ago a priof 1,403.22. Currently, with 30 ys remaining onthe contract, the value isF0(T)= S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360)= 1,452.54arbitrageur woulsell the futures contract,buy the unrlying, anearn a risk-free profit of 4.84. 如题，谢谢

2024-03-24 14:46 1 · 回答

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2024-01-29 22:22 1 · 回答

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2023-10-21 22:32 1 · 回答