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Lemonade · 2021年11月25日

为什么是short方？

  1. CFA II
  2. Derivative

NO.PZ2019010402000007

问题如下：

A manager sold an equity forward contract one month ago. The maturity of forward contract is three months. A dividend of $1 will be paid in one month before contract expiration. The annually compounded risk-free rate is 3%. The current spot price of underlying is $56, and the initial forward price is $60. The value of the manager’s position is:

选项：

A.

-4.7026

B.

4.7026

C.

4.8512

解释：

B is correct.

考点：equity forward contract求value

解析：

画图（long方）：

valuelong=(56−1(1+3%)1/12)−60(1+3%)2/12=−4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026

因为这一题的头寸是short方，所以value=4.7026

这道题说的是manager在maturity之前sell the forward，也就是说他必须得最开始是long,中间才能offset呀。所以说根据manager的一系列操作画出来的图就应该是答案里展示的图，不明白为啥还要最终加个负号。怎么看他是short的一方还是long的一方，是看他最初的position还是看他中间执行操作时的position？

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1 个答案

lynn_品职助教 · 2021年11月25日

嗨，从没放弃的小努力你好：


这里sell的意思就是short。衍生品世界中的sell不是常规的“持有实物，再出售”的概念，而是和一个交易对手，签订一份协议，对手方和你持相反的看法，这也就是为什么说衍生品是零和游戏。同学，以后看到sell就可以认为等于short。

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