重新定价法

NO.PZ2023020101000003 问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingCurry’s best answer to Parisi’s first question is:“Given the information in Exhibit 1, the 30-y U300 forwarpriwill be: A.greater ththe spot level of the U300 B.less ththe spot level ofthe U300 C.equto the spot level ofthe U300 A iscorrect. Sinthe vinrate is less ththe interest rate, the costs ofcarry will exceethe benefits of carry, so the forwarpriwill greaterththe spot. In this case the forwarpriwill be:F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54

NO.PZ2023020101000003问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingCurry’s best answer to Parisi’s first question is:“Given the information in Exhibit 1, the 30-y U300 forwarpriwill be: A.greater ththe spot level of the U300B.less ththe spot level ofthe U300C.equto the spot level ofthe U300 A iscorrect. Sinthe vinrate is less ththe interest rate, the costs ofcarry will exceethe benefits of carry, so the forwarpriwill greaterththe spot. In this case the forwarpriwill be:F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54 老师，请教下我的理解哪里有问题呀

NO.PZ2023020101000003 问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingCurry’s best answer to Parisi’s first question is:“Given the information in Exhibit 1, the 30-y U300 forwarpriwill be: A.greater ththe spot level of the U300 B.less ththe spot level ofthe U300 C.equto the spot level ofthe U300 A iscorrect. Sinthe vinrate is less ththe interest rate, the costs ofcarry will exceethe benefits of carry, so the forwarpriwill greaterththe spot. In this case the forwarpriwill be:F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54 您好，我其实用的是1403.22，因为考虑到现在是30天之后的时间点，用的F0*e^(RF-V)90-60与现在30天现在的时间点1450对比，但我发现答案的和我不太一样，我在想，这题我哪里错了？

NO.PZ2023020101000003问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingCurry’s best answer to Parisi’s first question is:“Given the information in Exhibit 1, the 30-y U300 forwarpriwill be: A.greater ththe spot level of the U300B.less ththe spot level ofthe U300C.equto the spot level ofthe U300 A iscorrect. Sinthe vinrate is less ththe interest rate, the costs ofcarry will exceethe benefits of carry, so the forwarpriwill greaterththe spot. In this case the forwarpriwill be:F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54 这里答案是不是忘记转换了