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Cindy · 2020年09月28日

问一道题：NO.PZ2018113001000053 [ CFA III ]

  1. CFA III
  2. Derivative

问题如下：

Olivia, a fund manager, sells $50,000 vega notional of a one-year variance swap on the S&P 500 at a strike of 20% (quoted as annual volatility).

If the one-year realized volatility is 18%, the settlement amount at expiration of the swap for Olivia is:

选项：

A.

pay $95,000 to the swap buyer.

B.

receive $95,000 from the swap buyer.

C.

receive $125,000 from the swap buyer.

解释：

B is correct.

Variance notional = Vega notional/(2*Strike)=50000/(2*20)=1250.

SettlementT = Variance notional × (Realized variance – Variance strike) = 1,250 × (18^2 – 20^2)

= –$95,000

If the payment amount is positive (negative), the swap seller (buyer) pays the swap buyer (seller). So, in this case, Olivia would receive $95,000 from the swap buyer.

能把这个知识点的截图发一下吗
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3 个答案
已采纳答案

xiaowan_品职助教 · 2020年09月28日

嗨，努力学习的PZer你好：


同学你好，

知识点在这里：


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加油吧，让我们一起遇见更好的自己！


Hertz_品职助教 · 2021年04月06日

嗨，爱思考的PZer你好：


同学你好~

你指的是The value of variance swap这个公式对么~这是一个很重要的计算，是很可能考到的。你可能看着这个表达式很长很难的样子，其实考起来很简单，就是对应带数字计算即可，不要有畏难情绪哈，可以多听一下截图对应的这部分视频，老师有讲这个公式的含义，理解着记忆会比较好。

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努力的时光都是限量版，加油！

qythebest · 2021年04月05日

第二个公式会考吗？感觉很难

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NO.PZ2018113001000053问题如下 Olivia funmanager, sells $50,000 vega notionof a one-yevarianswon the S P 500 a strike of 20% (quoteannuvolatility).If the one-yerealizevolatility is 18%, the settlement amount expiration of the swfor Olivia is:A.p$95,000 to the swbuyer.receive $95,000 from the swbuyer.receive $125,000 from the swbuyer. B is correct.Variannotion= Vega notional/(2*Strike)=50000/(2*20)=1250.SettlementT = Variannotion× (Realizevarian– Varianstrike) = 1,250 × (18^2 – 20^2)= –$95,000If the payment amount is positive (negative), the swseller (buyer) pays the swbuyer (seller). So, in this case, Olivia woulreceive $95,000 from the swbuyer.中文解析本题考察的是varianswap的结算。公式为SettlementT = Variannotion× (Realizevarian– Varianstrike) 其中Variannotion= Vega notional/(2*Strike)代入数字计算即可。其中realizevariance即σ2 ,varianstrike 即X2注意代入数字时，只取百分号前面的数字。注意上述公式是站在long position的角度，如果结果为负数，说明是swap的买方要付给swap的卖方，本题问的是swap的卖方，因此seller是收到95,000 答案说varianstrike是X2，题目中说varianstrike 是20，那为什么不是直接代入20，而是20的平方

2023-11-25 13:23 1 · 回答

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