NO.PZ2018113001000008
问题如下:
A manager wants to create a synthetic index fund with exposure to S&P 500. The initial amount to be invested is $500,000,000. A futures contract on the S&P 500 is priced at $1,000 and has a multiplier of $250. The risk-free rate is 3%, the futures expires in three months. The number of futures contracts needed to buy is:
选项:
A.
2,015
B.
2,014
C.
2,013
解释:
A is correct.
考点:synthetic index fund
解析:
根据公式:买入股票=买入无风险资产+买入期货
我们需要通过买入无风险资产和期货来合成三个月的股票头寸。但是要注意的是,在购买期货的期初,投资者是不需要支付款项的,在合约到期时才进行交割。
那么三个月之后,现金用来投资无风险资产之后的价值为:
500,000,000*(1+3%)0.25
然后再计算用这么多钱可以购买多少份的期货:
因为只能买卖整数份的期货合约,所以要四舍五入,即买入2,015份期货。
为什么有时候3%要除以4,有时不用,有时括号右上角要开4次根,我很糊涂哦