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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.

而且S0不是发行时的价格吗，1450是St啊，1403才是S0

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1 个答案

李坏_品职助教 · 2023年10月21日

嗨，爱思考的PZer你好：


这个F0指的是现在是0时刻，合约是在t=-30的时候签订的。

题目问的是现在进行套利可以得到多少利润，现在0时刻的期货价格F0应该是用当前的股票指数价格1450.82去计算。


1403是30天之前的股票指数价格，是用不到的。

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lcrcp3 · 2023年10月21日

我认为时间轴应该是0，30，60，现在站在的是30时间点，0时刻就是发行时点，S0也应该是发行时的价格，30时间点的价格是St。李老师画时间轴也从来没有说画-30的，都是从0开始画

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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？

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