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Veronica0073 · 2024年08月07日

学晕了

  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

老师请问是不是只有FRA and swap 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

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1 个答案

李坏_品职助教 · 2024年08月07日

嗨，从没放弃的小努力你好：


  1. FRA和Swap用单利，而futures和options用复利。本题的（1+0.0012）^6/12就是复利，期限是半年。
  2. 如果题目是semi-annually compounding，或者quarterly compounding，那就要去年化。前者是按照半年复利，利率要除以二。后者是季度复利，利率要除以四。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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