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Grayson · 2024年10月13日

画图法

NO.PZ2023020101000005

问题如下:

Ryan Parisi is a managing director in the derivatives group at High Ridge Partners, an investment management firm. Parisi specializes in advising institutional clients on the use of forward contracts in their portfolio management strategies. Parisi is preparing a response to questions from one of the firm’s US-based clients: Leslie Sheroda. Todd Curry, an intern in the derivatives group, will assist Parisi.

Leslie Sheroda oversees both equity and fixed-income portfolios for a pension fund. One month (30 days) ago, Sheroda had indicated that the pension fund expected a large inflow of cash in 60 days. In order to hedge against a potential rise in equity values over this period, Parisi advised Sheroda to enter into a long forward contract on the UAX 300 Index expiring in 60 days.

Prior to the meeting, Parisi shows the spot price of the UAX 300 index in Exhibit 1 to Curry and asks how the 30-day forward price will relate to the current level of the index. Curry compares the spot index to the forward price.

Exhibit 1: Selected Financial Information for Sheroda Meeting

Assuming a 360-day year, the value of Sheroda’s forward contract on the UAX index is closest to:

选项:

A.

USD 52.18

B.

USD 49.16

C.

USD 50.71

解释:

The 30-day forward price is Ft(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360) = 1,452.54.

Vt(T) = PVt,T[Ft(T) – F0(T)] = e–0.0392(30/360)(1,452.54 – 1,403.22) = 49.16

不是很读懂题目,尤其是题目所涉及的那个时间段。可以使用画图解释题目吗?

1 个答案
已采纳答案

李坏_品职助教 · 2024年10月13日

嗨,从没放弃的小努力你好:


现在是0时刻,在30天之前(也就是t=-30的时候),这个人进入了forward合约的多头,当时的期限是60天(也就是t=30的时候到期)。当时的forward price是F0 = 1403.22。




现在距离forward合约到期日还剩下30天,所以要先计算当前的30天的forward price,即Ft = 1450.82 * e(0.0392–0.025)(30/360)  = 1452.54。


forward合约的value计算:

用新的forward price 减去一开始老的forward price(这两份forward的到期日都是t=30),也就是Ft - F0, 然后折现30天,即为e–0.0392(30/360)(1,452.54 – 1,403.22) = 49.16。





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