410140980 · 2021年11月17日

老师合约期间的Div就不考虑了吗？

1. CFA II
2. Derivative

* 问题详情，请 查看题干

NO.PZ201702190300000105

问题如下：

Based on Exhibit 2, Troubadour should find that an arbitrage opportunity relating to TSI shares is

选项：

A.

not available.

B.

available based on carry arbitrage.

C.

available based on reverse carry arbitrage.

解释：

A is correct.

The carry arbitrage model price of the forward contract is FV(S₀) = S₀(1 + r)^T= $250(1 + 0.003)^0.75 = $250.562289.

The market price of the TSI forward contract is $250.562289. A carry or reverse carry arbitrage opportunity does not exist because the market price of the forward contract is equal to the carry arbitrage model price.

在Exhibit 3中 不是说有Div是1.5嘛，这个不要计算进去吗？另外无风险利率不是0.325%吗？解析的0.3%哪里的？