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

Jimmyz · 2024年07月25日

这里的0时刻是3个月以前，为什么折现要按照6个月？

  1. CFA II
  2. Derivative

NO.PZ2023041003000018

问题如下：

After discussing Kemper’s new investment ideas, Doyle and Kemper evaluate one of their existing forward contract positions. Three months ago, BestFutures took a long position in eight 10-year Japanese government bond (JGB) forward contracts, with each contract having a contract notional value of 100 million yen. The contracts had a price of JPY153 (quoted as a percentage of par) when the contracts were purchased.

Now, the contracts have six months left to expiration and have a price of JPY155. The annualized six-month interest rate is 0.12%. Doyle asks Kemper to value the JGB forward position.

The value of the JGB long forward position is closest to：

选项：

A.

JPY15,980,823.

B.

JPY15,990,409.

C.

JPY16,000,000.

解释：

The value of the JGB forward position is calculated as：


Therefore, the value of the long forward position is 1.9988 per JPY100 par value. For the long position in eight contracts with each contract having a par value of 100 million yen, the value of the position is calculated as

0.019988 × (JPY100,000,000) × 8 = JPY15,990,409

按照6个月折现是怎么计算出来的？

添加评论
1 个答案

李坏_品职助教 · 2024年07月25日

嗨，努力学习的PZer你好：


题目说了“Now, the contracts have six months left to expiration”，现在距离期末还剩下6个月。


这里的153和155是forward price，对应的时间点都是期末。二者作差之后，要从期末折现到现在，这段折现的时间是6个月。

----------------------------------------------
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

  • 166

    浏览
相关问题

NO.PZ2023041003000018问题如下 After scussing Kemper’snew investment ias, yle anKemper evaluate one of their existing forwarontrapositions. Three months ago, BestFutures took a long position in eight10-yeJapanese government bon(JGforwarcontracts, with eacontracthaving a contranotionvalue of 100 million yen. The contracts hapriof JPY153 (quotea percentage of par) when the contracts werepurchaseNow, the contracts havesix months left to expiration anhave a priof JPY155. The annualizeix-month interest rate is 0.12%. yle asks Kemper to value the JGB forwarosition. The value of the JGBlong forwarposition is closest to A.JPY15,980,823.B.JPY15,990,409.C.JPY16,000,000. The value of the JGBforwarposition is calculateas Therefore, the valueof the long forwarposition is 1.9988 per JPY100 pvalue. For the longposition in eight contracts with eacontrahaving a pvalue of100 million yen, the value of the position is calculateas0.019988 × (JPY100,000,000) × 8 = JPY15,990,409 为什么这里直接用155-153，而没有按FRA期限除以90/360？

2024-10-24 19:50 1 · 回答

NO.PZ2023041003000018 问题如下 After scussing Kemper’snew investment ias, yle anKemper evaluate one of their existing forwarontrapositions. Three months ago, BestFutures took a long position in eight10-yeJapanese government bon(JGforwarcontracts, with eacontracthaving a contranotionvalue of 100 million yen. The contracts hapriof JPY153 (quotea percentage of par) when the contracts werepurchaseNow, the contracts havesix months left to expiration anhave a priof JPY155. The annualizeix-month interest rate is 0.12%. yle asks Kemper to value the JGB forwarosition. The value of the JGBlong forwarposition is closest to A.JPY15,980,823. B.JPY15,990,409. C.JPY16,000,000. The value of the JGBforwarposition is calculateas Therefore, the valueof the long forwarposition is 1.9988 per JPY100 pvalue. For the longposition in eight contracts with eacontrahaving a pvalue of100 million yen, the value of the position is calculateas0.019988 × (JPY100,000,000) × 8 = JPY15,990,409 老师请问是不是只有FRA answ这种标的是Libor的contract在定价和估值的时候才要分子分母都计算单利并且去年化

2024-08-07 20:46 1 · 回答