问题如下:
3. The value of Position 2 is closest to:
选项:
A.-¥149,925.
B.-¥150,000.
C.-¥150,075.
解释:
A is correct.
The value of Troubadour’s euro - JGB forward position is calculated as
Vt(T) = PVt,T[Ft(T) – F0(T)]
Vt(T) = (100.05 - 100.20)/(1 + 0.0030)2/12 = -0.149925 (per ¥100 par value)
Therefore, the value of the Troubadour’s forward position is
Vt (T)= -0.149925/100(¥100,000,000) = -¥149,925
老师好,现在卖的便宜了所以对我有损失我可以理解
但是如果画图的话,一个月前我是long position不应该是向上箭头100.2吗 那这样我就会变成100.2-100.05 就是正数了
还是说 一个月前我的long position应该是向下箭头呢 然后代表我约定用100.2买 所以我就是要付钱,所以向下箭头?这个箭头我一直搞错
谢谢老师