开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

克里斯汀 · 2021年05月12日

分不清哪一个是ST，哪一个是FP

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201702190300000104

问题如下：

The value of Position 3 is closest to:

选项：

A.

-¥40,020.

B.

¥139,913.

C.

¥239,963.

解释：

C is correct.

The current no-arbitrage price of the forward contract is

Ft(¥/$,T) = St(¥/$)FV¥,t,T(1)/FV$,t,T(1)

Ft(¥/$,T) = ¥112.00(1 - 0.002)0.25/(1 + 0.003)0.25 = ¥111.8602

Therefore, the value of Troubadour’s position in the ¥/$ forward contract, on a per dollar basis, is

Vt(T) = PV¥,t,T[F0(¥/$,T) - Ft(¥/$,T)]

=(112.10 - 111.8602)/(1 - 0.002)025 = ¥0.239963 per $1

Troubadour’s position is a short position of $1,000,000, so the short position has a positive value of (¥0.239963/$) x $1,000,000 = ¥239,963 because the forward rate has fallen since the contract initiation.

带入讲义中currency forward的公式，

之前有人提问中回答的画图法，ST=112.1, FP=112

想请问下题目中 At contract initiation, the forward rate was ¥112.10 per $1. 我觉得这个forward rate不应该是FP吗？

The forward contract expires in three months. The current spot exchange rate is ¥112.00 per $1，这个应该是ST。为什么答案是反的呢？

添加评论
1 个答案

WallE_品职答疑助手 · 2021年05月13日

嗨，爱思考的PZer你好：


您看错了吧，112.10是at the contract initiation 的forward price，就是t=0时刻签合约约定的FP。然后112.00是current spot，那就是0时刻的即期汇率，spot就是当前时刻的价格的意思。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 481

    浏览
相关问题

NO.PZ201702190300000104 老师好 这道题我没看出来“current quoteprice”对应的current时间点就是t=0的时间点，从哪里可以看出来呀？谢谢老师

2021-09-12 07:58 1 · 回答

NO.PZ201702190300000104 没有太搞的清楚方向

2021-07-01 16:58 1 · 回答

NO.PZ201702190300000104 ¥139,913. ¥239,963. C is correct. The current no-arbitrage priof the forwarcontrais Ft(¥/$,T) = St(¥/$)FV¥,t,T(1)/FV$,t,T(1) Ft(¥/$,T) = ¥112.00(1 - 0.002)0.25/(1 + 0.003)0.25 = ¥111.8602 Therefore, the value of Troubaur’s position in the ¥/$ forwarcontract, on a per llbasis, is Vt(T) = PV¥,t,T[F0(¥/$,T) - Ft(¥/$,T)] =(112.10 - 111.8602)/(1 - 0.002)025 = ¥0.239963 per $1 Troubaur’s position is a short position of $1,000,000, so the short position ha positive value of (¥0.239963/$) x $1,000,000 = ¥239,963 because the forwarrate hfallen sinthe contrainitiation.可以用t时刻的forwarprice折现到current 时间点与当前spot price做差吗。稍微差了179块钱，不十分准确.

2021-05-19 22:59 1 · 回答

NO.PZ201702190300000104 一直搞不明白到底哪个货币在期末支出。为什么long forwarfpA/B，期末支出FPa呢

2021-05-11 20:13 1 · 回答