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holicess · 2024年01月03日

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  1. CFA I
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202208260100000402

问题如下：

A Baywhite client currently owns 5,000 common non-dividend-paying shares of Vivivyu Inc. (VIVU), a digital media company, at a spot price of USD173 per share. The client enters into a forward commitment to sell half of its VIVU position in six months at a price of USD175.58. Which of the following market events is most likely to result in the greatest gain in the VIVU forward contract MTM value from the client's perspective?

选项：

A.An increase in the risk-free rate

B.An immediate decline in the VIVU spot price following contract inception

C.A steady rise in the spot price of VIVU stock over time

解释：

Solution

B is correct.

The original VIVU spot price (S0) at t = 0 must equal the present value of the forward price discounted at the risk-free rate, so an immediate fall in the spot price to S0- < S0 results in an MTM gain for the forward contract seller. A is not correct, since a higher risk-free rate will reduce the contract MTM from the client's perspective by reducing the PV of F0(T), while C will also reduce the forward contract MTM from the seller's perspective.

中文解析：

根据题干可知，客户想要通过远期合约在六个月后减少持有的股票头寸，因此他应该进入的是short forward头寸。

Short forward头寸下，MTM value = F0(T)/(1+r)T-t - St

由上式可以看到：无风险利率上涨，以及股票价格上涨，都会使得MTM value下降。而股票价格下跌，会使得MTM value上涨。因此选B。

老师，这个 short forward 的公式是什么，在讲义哪里？

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1 个答案

李坏_品职助教 · 2024年01月03日

嗨，从没放弃的小努力你好：


short forward意思是：做空远期合约。做空是一种交易方式，可以理解为现在卖出资产，未来资产跌了之后买回来，所以对做空来说，价格越低越赚钱。


题目问的是什么情况下，做空最赚钱，自然是价格暴跌的时候，所以选B。


这个公式是讲义P126的，他是long forward的value。这道题是short forward，你就把这个公式取反，就行了。

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NO.PZ202208260100000402 问题如下 A Baywhite client currently owns 5,000 common non-vinpaying shares of Vivivyu In(VIVU), a gitmea company, a spot priof US73 per share. The client enters into a forwarcommitment to sell half of its VIVU position in six months a priof US75.58. Whiof the following market events is most likely to result in the greatest gain in the VIVU forwarcontraMTM value from the client's perspective? A.increase in the risk-free rate B.immeate cline in the VIVU spot prifollowing contrainception C.A stea rise in the spot priof VIVU stoover time SolutionB is correct. The originVIVU spot pri(S0) t = 0 must equthe present value of the forwarpriscountethe risk-free rate, so immeate fall in the spot prito S0- S0 results in MTM gain for the forwarcontraseller. A is not correct, sina higher risk-free rate will rethe contraMTM from the client's perspective recing the PV of F0(T), while C will also rethe forwarcontraMTM from the seller's perspective. 中文解析根据题干可知，客户想要通过远期合约在六个月后减少持有的股票头寸，因此他应该进入的是shortforwar寸。Short forwar寸下，MTMvalue = F0(T)/(1+r)T-t - St由上式可以看到无风险利率上涨，以及股票价格上涨，都会使得MTMvalue下降。而股票价格下跌，会使得MTMvalue上涨。因此选 卖股票，不能低于175.8.是这么理解么

2023-05-28 20:42 1 · 回答