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Drink H · 2020年07月14日

问一道题:NO.PZ2020012005000015

问题如下:

Explain the argument used for calculating the value of a forward contract.

选项:

解释:

The forward contract is compared to a forward contract with the same maturity that would be entered into today. The present value of the difference between their payoffs can be calculated. We know that the value of a forward contract that would be entered into today is zero and can therefore deduce the value of the other forward contract.

这道题表达的意思是?

1 个答案

品职答疑小助手雍 · 2020年07月15日

就是说几个月前你进入了一个forward交易,约定9月底以A的价格买苹果,现在过了几个月了,要对这份合约进行估值。

那就是看看现在签一个9月底买苹果的合约的价格是多少,我们假设这个价格是B,那么之前那份forward的价值就是B-A的现值(从9月底折到现在)。