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Yang · 2020年05月31日

问一道题：NO.PZ201702190300000106

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

问题如下：

6. The most appropriate response to Troubadour’s supervisor’s question regarding the TSI forward contract is:

选项：

A.

a decrease in TSI’s share price, all else equal.

B.

an increase in the risk-free rate, all else equal

C.

a decrease in the market price of the forward contract, all else equal.

解释：

B is correct.

From the perspective of the long position, the forward value is equal to the present value of the difference in forward prices:

Vt(T)= PVt,T[Ft(T)-F0(T)]

where Ft(T) =FVt,T(St+θt-γt)

All else equal, an increase in the risk-free rate before contract expiration would cause the forward price, Ft(T), to increase. This increase in the forward price would cause the value of the TSI forward contract, from the perspective of the short, to decrease. Therefore, an increase in the risk-free rate would lead to a loss on the short position in the TSI forward contract.

不选 C，是因为 Forward price 已经锁定为 250.562289 了吗？这样不管 forward price 如何降价，都和我是否亏损无关了


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WallE_品职答疑助手 · 2020年05月31日

这里引用包包助教的一个解释，我觉得解释的很好：

C选项说forward contract的market price降低，首先你要知道这个forward contract的market price指的是当前时刻在市场上签订一份远期合约约定卖TSI的价格，我们称为FPt，不是上个公式里的FP（指的是0时刻我们已经签订的那份远期合约里面约定的卖TSI的价格，我们称为FP0），FPt减少，说明当前市场上签订一份t时刻卖TSI股票，约定的卖价减少了。这就说明我们0时刻签的合约对我们来说是有利的，所以就有一个gain。

 

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NO.PZ201702190300000106 老师好 short equity forwar250.562289 不是指我希望以后pri低于 250.562289 的时候 我就可以以  250.562289 的价格sell 掉TSI shares 吗？也就是说我是希望以后TSI 's share pri越低越好。  A 和B 不都是表示TSI share pri会op 嘛， 那不都是对我来说是gain 吗？ 谢谢。

2021-11-26 05:47 3 · 回答

NO.PZ201702190300000106 increase in the risk-free rate, all else equa crease in the market priof the forwarcontract, all else equal. B is correct. From the perspective of the long position, the forwarvalue is equto the present value of the fferenin forwarprices: Vt(T)= PVt,T[Ft(T)-F0(T)] where Ft(T) =FVt,T(St+θt-γt) All else equal, increase in the risk-free rate before contraexpiration woulcause the forwarprice, Ft(T), to increase. This increase in the forwarpriwoulcause the value of the TSI forwarcontract, from the perspective of the short, to crease. Therefore, increase in the risk-free rate woulleto a loss on the short position in the TSI forwarcontract.这道题答案为什么不选A，请用公式一下。

2021-03-31 08:00 1 · 回答

老师我不懂这句话All else equal, increase in the risk-free rate before contraexpiration woulcause the forwarprice, Ft(T), to increase.利率上升怎么会使得forwarprice也上升呢？

2020-08-18 00:29 1 · 回答

increase in the risk-free rate, all else equa crease in the market priof the forwarcontract, all else equal. B is correct. From the perspective of the long position, the forwarvalue is equto the present value of the fferenin forwarprices: Vt(T)= PVt,T[Ft(T)-F0(T)] where Ft(T) =FVt,T(St+θt-γt) All else equal, increase in the risk-free rate before contraexpiration woulcause the forwarprice, Ft(T), to increase. This increase in the forwarpriwoulcause the value of the TSI forwarcontract, from the perspective of the short, to crease. Therefore, increase in the risk-free rate woulleto a loss on the short position in the TSI forwarcontract.重新定价法中 long/short position 公式分子中 FPt与 FP0 谁减谁的顺序从逻辑上怎么理解？

2020-03-15 15:38 1 · 回答