NO.PZ2023091802000045
问题如下:
A trader in the arbitrage unit of a multinational bank finds that an asset is trading at USD 1,000, the price of a 1-year futures contract on that asset is USD 1,010, and the price of a 2-year futures contract is USD 1,025. Assume that there are no cash flows from the asset for 2 years. If the term structure of interest rates is flat at 1% per year, which of the following is an appropriate arbitrage strategy?
选项:
A.
Short 2-year futures and long 1-year futures
B.
Short 1-year futures and long 2-year futures
C.
Short 2-year futures and long the underlying asset funded by borrowing for 2 years
D.
Short 1-year futures and long the underlying asset funded by borrowing for 1 year
解释:
The 1-year futures price should be 1000*e^(0.01)=1010.25
The 2-year futures price should be
The current 2-year futures price in the market
is overvalued compared to the theoretical price. To lock in a profit, you would
short the 2 year futures, borrow USD 1,000 at 1%, and buy the underlying asset.
At the end of the 2nd years, you will sell the asset at USD 1,025 and return
the borrowed money with interest, which would be , resulting in a USD 4.80
gain.
A的价格对应的Pv差价不是更大吗 不能同时Short 和long 期货合约呢