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.
没有太搞的清楚方向
