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Spencer · 2020年08月18日

问一道题:NO.PZ201702190300000106

* 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.

老师我不懂这句话:All else equal, an increase in the risk-free rate before contract expiration would cause the forward price, Ft(T), to increase.利率上升怎么会使得forward price也上升呢?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年08月18日

同学你好,

本来签订forward contract就是based on,1.current price 2.利率

比如现在一瓶可乐卖2块钱,我觉得1年后,因为通货膨胀可乐卖3块钱,这个例子里面的通胀你可以理解为利率,如果利率越高(通胀越高),那么FP也会越高的。

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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

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

2020-05-31 16:43 1 · 回答

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2020-03-15 15:38 1 · 回答