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安安鱼 · 2020年02月24日

问一道题：NO.PZ2019052801000038 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下图：

选项：

A.

B.

C.

D.

解释：

您好，能用李老师上课用的画图大法来帮忙解答一下吗？

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orange品职答疑助手 · 2020年02月24日

同学你好

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NO.PZ2019052801000038 问题如下 The priof a bonis $1,058, it ha coupon payment of $30 every six mouths, the last payment is three mouths ago. The continuous interest rate is 5%. Calculate the forwarpriof a 6-month forwarcontra on this bon A.$998.72. B.$1,032.21. C.$1,067.24. $1054.41. is correct.考点远期合约定价解析PV=30e−0.05×0.25=29.6273PV0=30e^{-0.05\times0.25}=29.6273\\PV​=30e−0.05×0.25=29.6273FP  =  (S0−PV)erT=(1058−29.6273)e0.05×0.5=1054.41FP\;=\;(S_0-PV0)e^{rT}=(1058-29.6273)e^{0.05\times0.5}=1054.41FP=(S0​−PV​)erT=(1058−29.6273)e0.05×0.5=1054.41 这种题目用画图法怎么

2024-08-23 23:45 1 · 回答

NO.PZ2019052801000038 问题如下 The priof a bonis $1,058, it ha coupon payment of $30 every six mouths, the last payment is three mouths ago. The continuous interest rate is 5%. Calculate the forwarpriof a 6-month forwarcontra on this bon A.$998.72. B.$1,032.21. C.$1,067.24. $1054.41. is correct.考点远期合约定价解析PV=30e−0.05×0.25=29.6273PV0=30e^{-0.05\times0.25}=29.6273\\PV​=30e−0.05×0.25=29.6273FP  =  (S0−PV)erT=(1058−29.6273)e0.05×0.5=1054.41FP\;=\;(S_0-PV0)e^{rT}=(1058-29.6273)e^{0.05\times0.5}=1054.41FP=(S0​−PV​)erT=(1058−29.6273)e0.05×0.5=1054.41 为什么在折现vin时候e的次方是-rt?

2024-07-23 14:58 2 · 回答

NO.PZ2019052801000038问题如下The priof a bonis $1,058, it ha coupon payment of $30 every six mouths, the last payment is three mouths ago. The continuous interest rate is 5%. Calculate the forwarpriof a 6-month forwarcontra on this bon A.$998.72.B.$1,032.21.C.$1,067.24.$1054.41.is correct.考点远期合约定价解析PV=30e−0.05×0.25=29.6273PV0=30e^{-0.05\times0.25}=29.6273\\PV​=30e−0.05×0.25=29.6273FP  =  (S0−PV)erT=(1058−29.6273)e0.05×0.5=1054.41FP\;=\;(S_0-PV0)e^{rT}=(1058-29.6273)e^{0.05\times0.5}=1054.41FP=(S0​−PV​)erT=(1058−29.6273)e0.05×0.5=1054.41如题，请问是哪里看出来1058是干净的报价？

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NO.PZ2019052801000038 问题如下 The priof a bonis $1,058, it ha coupon payment of $30 every six mouths, the last payment is three mouths ago. The continuous interest rate is 5%. Calculate the forwarpriof a 6-month forwarcontra on this bon A.$998.72. B.$1,032.21. C.$1,067.24. $1054.41. is correct.考点远期合约定价解析PV=30e−0.05×0.25=29.6273PV0=30e^{-0.05\times0.25}=29.6273\\PV​=30e−0.05×0.25=29.6273FP  =  (S0−PV)erT=(1058−29.6273)e0.05×0.5=1054.41FP\;=\;(S_0-PV0)e^{rT}=(1058-29.6273)e^{0.05\times0.5}=1054.41FP=(S0​−PV​)erT=(1058−29.6273)e0.05×0.5=1054.41 请问是不是计算远期合约价格和期初价格的时候都不需要考虑long还是short？我记得老师讲课的时候，都是以long futures为例画图，因为FP为支出，所以cost要从FP的折现值里减掉；income为收入，所以要从PV里减掉，最后两个折现值在期初相等，算出FP。但如果是short futures，FP为收入，那是不是income要从FP的折现值里减掉，而cost要从PV里减掉呢？

2024-03-05 22:59 1 · 回答

NO.PZ2019052801000038 问题如下 The priof a bonis $1,058, it ha coupon payment of $30 every six mouths, the last payment is three mouths ago. The continuous interest rate is 5%. Calculate the forwarpriof a 6-month forwarcontra on this bon A.$998.72. B.$1,032.21. C.$1,067.24. $1054.41. is correct.考点远期合约定价解析PV=30e−0.05×0.25=29.6273PV0=30e^{-0.05\times0.25}=29.6273\\PV​=30e−0.05×0.25=29.6273FP  =  (S0−PV)erT=(1058−29.6273)e0.05×0.5=1054.41FP\;=\;(S_0-PV0)e^{rT}=(1058-29.6273)e^{0.05\times0.5}=1054.41FP=(S0​−PV​)erT=(1058−29.6273)e0.05×0.5=1054.41 这个难道不是未来我会拿到的v吗？应该是收入啊？谢谢！

2024-02-07 16:25 1 · 回答