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徐威廉 · 2020年08月14日

问一道题:NO.PZ201702190300000107 第7小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下:

7.Based on Exhibits 2 and 3, and assuming annual compounding, the per share value of Troubadour’s short position in the TSI forward contract three months after contract initiation is closest to:

选项:

A.

$1.6549.

B.

$5.1561.

C.

$6.6549.

解释:

C is correct.

The no-arbitrage price of the forward contract, three months after contract initiation, is

F0.25(T) = FV0.25,T(S0.25 + θ.25 γ0.25)

F0.25(T) = [$245 + 0 - $1.50/(1 + 0.00325)(0.5 - 0.25)](1 + 0.00325)(0.75 -0.25) = $243.8966

Therefore, from the perspective of the long, the value of the TSI forward contract is

V0.25(T)=PV0.25,T [F0.25(T) F0(T)]

V0.25(T) = ($243.8966- $250.562289)/(1 + 0.00325)0.75 - 0.25 =-$6.6549

Because Troubadour is short the TSI forward contract, the value of his position is a gain of $6.6549.

这题说到了分红是半年一付,1.5$,为什么不需要除以2?
1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年08月14日

同学你好,

题干说的是半年付一次价值1.5的分红。不是每年分红1.5半年付一次。