开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Alex · 2024年05月27日

资产分红等收益是否都应该扣除？

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202108100100000105

问题如下：

Based on Exhibits 2 and 3, and assuming annual compounding, the per share value of Troubadour’s short position in the TSI forward contract three months after contract initiation is closest to:

选项：

A.

$1.6549.

B.

$5.1561.

C.

$6.6549.

解释：

C is correct.

The no-arbitrage price of the forward contract, three months after contract initiation, is

F0.25 = FV0.25(S0.25 + CC0.25 – CB0.25)

F0.25 = [$245 + 0 – $1.50 / (1 + 0.00325)(0.5-0,25) ] (1 + 0.00325)（0.75-0.25） = $243.8966.

herefore, from the perspective of the long, the value of the TSI forward contract is

V0.25= PV0.25 [F0.25 – F0]

V0.25= ($243.8966 – $250.562289)/(1 + 0.00325)（0.75-0.25） = –$6.6549.

Because Troubadour is short the TSI forward contract, the value of his position is a gain of $6.6549.

中文解析：

本题考察的是t时刻求value，有重新定价法和画图法两种方法。

上述求解过程为重新定价法，即先求t=3时刻的远期合约价格F，然后和F作差后折现至t时刻即可。

如果使用画图法，与课程讲法一致：假设是long position，向上箭头表收到，向下的箭头表支出，二者相减即为所求的value。对应本题需要注意的是short头寸，因此最后求得结果需要取负号即可。

具体计算过程如下图：

本案中，Troubadour takes a short position in the TSI equity forward contract，请教如果是take a long position，也是应该St中减去PV（1.5分红）吗？

添加评论
1 个答案
已采纳答案

pzqa35 · 2024年05月28日

嗨，努力学习的PZer你好：


这里的求value我们是站在long方的角度先求出了value，然后再加上负号即可。因为dividend作为carry benefit，long方在期间是收不到的，所以是要减去。这种题目我们都是站在long方的角度来思考，然后short方加上负号即可，否则非常容易搞混哈。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 192

    浏览
相关问题

NO.PZ202108100100000105 问题如下 Baseon Exhibits 2 an3, anassuming annucompounng, the per share value of Troubaur’s short position in the TSI forwarcontrathree months after contrainitiation is closest to: A.$1.6549. B.$5.1561. C.$6.6549. C is correct. The no-arbitrage priof the forwarcontract, three months after contrainitiation, isF0.25 = FV0.25(S0.25 + CC0.25 – CB0.25)F0.25 = [$245 + 0 – $1.50 / (1 + 0.00325)(0.5-0,25) ] (1 + 0.00325)（0.75-0.25） = $243.8966.herefore, from the perspective of the long, the value of the TSI forwarcontraisV0.25= PV0.25 [F0.25 – F0]V0.25= ($243.8966 – $250.562289)/(1 + 0.00325)（0.75-0.25） = –$6.6549.Because Troubaur is short the TSI forwarcontract, the value of his position is a gain of $6.6549. 中文解析本题考察的是t时刻求value，有重新定价法和画图法两种方法。上述求解过程为重新定价法，即先求t=3时刻的远期合约价格F，然后和F作差后折现至t时刻即可。如果使用画图法，与课程讲法一致假设是long position，向上箭头表收到，向下的箭头表支出，二者相减即为所求的value。对应本题需要注意的是short头寸，因此最后求得结果需要取负号即可。具体计算过程如下图 FP=250.562289为什么是在9月结束的时候，画图法能看懂但是现金流老是对不上号,请老师再下，谢谢

2024-05-03 12:34 2 · 回答

NO.PZ202108100100000105 问题如下 Baseon Exhibits 2 an3, anassuming annucompounng, the per share value of Troubaur’s short position in the TSI forwarcontrathree months after contrainitiation is closest to: A.$1.6549. B.$5.1561. C.$6.6549. C is correct. The no-arbitrage priof the forwarcontract, three months after contrainitiation, isF0.25 = FV0.25(S0.25 + CC0.25 – CB0.25)F0.25 = [$245 + 0 – $1.50 / (1 + 0.00325)(0.5-0,25) ] (1 + 0.00325)（0.75-0.25） = $243.8966.herefore, from the perspective of the long, the value of the TSI forwarcontraisV0.25= PV0.25 [F0.25 – F0]V0.25= ($243.8966 – $250.562289)/(1 + 0.00325)（0.75-0.25） = –$6.6549.Because Troubaur is short the TSI forwarcontract, the value of his position is a gain of $6.6549. 中文解析本题考察的是t时刻求value，有重新定价法和画图法两种方法。上述求解过程为重新定价法，即先求t=3时刻的远期合约价格F，然后和F作差后折现至t时刻即可。如果使用画图法，与课程讲法一致假设是long position，向上箭头表收到，向下的箭头表支出，二者相减即为所求的value。对应本题需要注意的是short头寸，因此最后求得结果需要取负号即可。具体计算过程如下图 因为原题的设定，假如考虑了accrueinterest，那AI_t和AI_T也会抵消；如果没有这么巧合的设定，这道题是不是需要考虑两个accrueinterest？

2023-05-16 19:53 2 · 回答

NO.PZ202108100100000105问题如下 Baseon Exhibits 2 an3, anassuming annucompounng, the per share value of Troubaur’s short position in the TSI forwarcontrathree months after contrainitiation is closest to: A.$1.6549.B.$5.1561.C.$6.6549. C is correct. The no-arbitrage priof the forwarcontract, three months after contrainitiation, isF0.25 = FV0.25(S0.25 + CC0.25 – CB0.25)F0.25 = [$245 + 0 – $1.50 / (1 + 0.00325)(0.5-0,25) ] (1 + 0.00325)（0.75-0.25） = $243.8966.herefore, from the perspective of the long, the value of the TSI forwarcontraisV0.25= PV0.25 [F0.25 – F0]V0.25= ($243.8966 – $250.562289)/(1 + 0.00325)（0.75-0.25） = –$6.6549.Because Troubaur is short the TSI forwarcontract, the value of his position is a gain of $6.6549. 中文解析本题考察的是t时刻求value，有重新定价法和画图法两种方法。上述求解过程为重新定价法，即先求t=3时刻的远期合约价格F，然后和F作差后折现至t时刻即可。如果使用画图法，与课程讲法一致假设是long position，向上箭头表收到，向下的箭头表支出，二者相减即为所求的value。对应本题需要注意的是short头寸，因此最后求得结果需要取负号即可。具体计算过程如下图 exhibit3中的最后一段话有什么用

2023-04-06 22:41 1 · 回答

NO.PZ202108100100000105问题如下 Baseon Exhibits 2 an3, anassuming annucompounng, the per share value of Troubaur’s short position in the TSI forwarcontrathree months after contrainitiation is closest to: A.$1.6549.B.$5.1561.C.$6.6549. C is correct. The no-arbitrage priof the forwarcontract, three months after contrainitiation, isF0.25 = FV0.25(S0.25 + CC0.25 – CB0.25)F0.25 = [$245 + 0 – $1.50 / (1 + 0.00325)(0.5-0,25) ] (1 + 0.00325)（0.75-0.25） = $243.8966.herefore, from the perspective of the long, the value of the TSI forwarcontraisV0.25= PV0.25 [F0.25 – F0]V0.25= ($243.8966 – $250.562289)/(1 + 0.00325)（0.75-0.25） = –$6.6549.Because Troubaur is short the TSI forwarcontract, the value of his position is a gain of $6.6549. 中文解析本题考察的是t时刻求value，有重新定价法和画图法两种方法。上述求解过程为重新定价法，即先求t=3时刻的远期合约价格F，然后和F作差后折现至t时刻即可。如果使用画图法，与课程讲法一致假设是long position，向上箭头表收到，向下的箭头表支出，二者相减即为所求的value。对应本题需要注意的是short头寸，因此最后求得结果需要取负号即可。具体计算过程如下图 题目中说semiannuvin1.5%，为什么6时刻收到的vin是0.75

2023-03-28 12:41 2 · 回答