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

安宝123 · 2020年04月10日

问一道题:NO.PZ2019010402000007

问题如下:

A manager sold an equity forward contract one month ago. The maturity of forward contract is three months. A dividend of $1 will be paid in one month before contract expiration. The annually compounded risk-free rate is 3%. The current spot price of underlying is $56, and the initial forward price is $60. The value of the manager’s position is:

选项:

A.

-4.7026

B.

4.7026

C.

4.8512

解释:

B is correct.

考点:equity forward contract求value

解析:

画图(long方):

valuelong=(561(1+3%)1/12)60(1+3%)2/12=4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026

因为这一题的头寸是short方,所以value=4.7026

明白这里先求long,再加负号得到short头寸

但是为什么不能直接S1+PVD,这样就是short方得到分红的好处,直接算short的呢?

是因为这里并没有说 long现货吗?但是short contract不是很long现货都是成对出现的吗?

1 个答案

xiaowan_品职助教 · 2020年04月11日

嗨,爱思考的PZer你好:


同学你好,可以这样考虑:forward 合约的FP本身就是剔除红利影响后定价的,相对应现货的部分也是剔除红利,参考

long和short的成对关系可以这样表达:

Vlong = (St- PV(div))-PV(FP)

Vshort = PV(FP) – (St- PV(div))


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


  • 1

    回答
  • 1

    关注
  • 556

    浏览
相关问题

NO.PZ2019010402000007问题如下A manager solequity forwarcontraone month ago. The maturity of forwarcontrais three months. A vinof $1 will paiin one month before contraexpiration. The annually compounrisk-free rate is 3%. The current spot priof unrlying is $56, anthe initiforwarpriis $60. The value of the manager’s position is:A.-4.7026B.4.7026C.4.8512B is correct.考点equity forwarcontract求value解析画图(long方)valuelong=(56−1(1+3%)1/12)−60(1+3%)2/12=−4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026valuelong​=(56−(1+3%)1/121​)−(1+3%)2/1260​=−4.7026因为这一题的头寸是short方,所以value=4.7026老师好,我在答一系列题的时候,对于期限小于1年的折现率如果算产生了一些困惑,以60天为例,有的时候是(1+rf*60/360)(如本题),有的时候是(1+rf)^(60/360),能否请老师帮忙指出一下我应该是哪里理解出现了偏差。并请老师帮忙总结一下,什么时候用什么,谢谢!

2024-09-09 01:40 1 · 回答

NO.PZ2019010402000007问题如下A manager solequity forwarcontraone month ago. The maturity of forwarcontrais three months. A vinof $1 will paiin one month before contraexpiration. The annually compounrisk-free rate is 3%. The current spot priof unrlying is $56, anthe initiforwarpriis $60. The value of the manager’s position is:A.-4.7026B.4.7026C.4.8512B is correct.考点equity forwarcontract求value解析画图(long方)valuelong=(56−1(1+3%)1/12)−60(1+3%)2/12=−4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026valuelong​=(56−(1+3%)1/121​)−(1+3%)2/1260​=−4.7026因为这一题的头寸是short方,所以value=4.7026怎麼知道是short

2024-09-09 00:37 1 · 回答

NO.PZ2019010402000007 问题如下 A manager solequity forwarcontraone month ago. The maturity of forwarcontrais three months. A vinof $1 will paiin one month before contraexpiration. The annually compounrisk-free rate is 3%. The current spot priof unrlying is $56, anthe initiforwarpriis $60. The value of the manager’s position is: A.-4.7026 B.4.7026 C.4.8512 B is correct.考点equity forwarcontract求value解析画图(long方)valuelong=(56−1(1+3%)1/12)−60(1+3%)2/12=−4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026valuelong​=(56−(1+3%)1/121​)−(1+3%)2/1260​=−4.7026因为这一题的头寸是short方,所以value=4.7026 如题

2023-10-15 16:32 3 · 回答

NO.PZ2019010402000007 问题如下 A manager solequity forwarcontraone month ago. The maturity of forwarcontrais three months. A vinof $1 will paiin one month before contraexpiration. The annually compounrisk-free rate is 3%. The current spot priof unrlying is $56, anthe initiforwarpriis $60. The value of the manager’s position is: A.-4.7026 B.4.7026 C.4.8512 B is correct.考点equity forwarcontract求value解析画图(long方)valuelong=(56−1(1+3%)1/12)−60(1+3%)2/12=−4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026valuelong​=(56−(1+3%)1/121​)−(1+3%)2/1260​=−4.7026因为这一题的头寸是short方,所以value=4.7026 这道题已知,给了连续复利的无风险利率The annually compounrisk-free rate is 3%. 折现的时候为啥用离散的方式折现呢?为啥不用e的Rfc来折现呢?虽然对结果影响不大,我想请老师给我一下。

2023-09-30 18:16 1 · 回答

NO.PZ2019010402000007问题如下A manager solequity forwarcontraone month ago. The maturity of forwarcontrais three months. A vinof $1 will paiin one month before contraexpiration. The annually compounrisk-free rate is 3%. The current spot priof unrlying is $56, anthe initiforwarpriis $60. The value of the manager’s position is:A.-4.7026B.4.7026C.4.8512B is correct.考点equity forwarcontract求value解析画图(long方)valuelong=(56−1(1+3%)1/12)−60(1+3%)2/12=−4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026valuelong​=(56−(1+3%)1/121​)−(1+3%)2/1260​=−4.7026因为这一题的头寸是short方,所以value=4.7026是不是就是公式里的F(T)那么F0(T)和F(T)在题目表述中一般都分别是怎么表述 有什么区别啊

2023-09-27 01:49 1 · 回答