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良爱洳 · 2020年11月02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.

为什么这里计算不需要给volatility加百分号呢？如果加了 答案就是-950
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已采纳答案

xiaowan_品职助教 · 2020年11月03日

嗨，爱思考的PZer你好：


同学你好，

这里就是不需要加百分号的，是这个公式原始的规定。

 


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