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

kan1223 · 2022年01月08日

请教老师，这道题的148/146都站在一个时间点上吗？

  1. CFA II
  2. Derivative

NO.PZ2019010402000059

问题如下：

One months ago, Harvey took a short position in five 10-year Canadian government bond forward contracts, with each contract having a contract notional value of 100 million CAD. when the contracts were purchased, the contracts had a price of CAD 146 (quoted as a percentage of par). Now, the contracts have three months left to expiration, and have a price of CAD 148. The annualized three-month interest rate is 0.15%. The value of the forward contract is :

选项：

A.

- CAD9,996,500

B.

CAD9,996,500

C.

CAD1,999,300

解释：

A is correct

本题考察的是重新定价法求远期合约的价值。

For the long position:

Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.9993

1.9993/100 * 100,000,000 * 5= CAD9,996,500

本题求解的是short position，因此取负号为 - CAD9,996,500

when the contracts were purchased, the contracts had a price of CAD 146 (quoted as a percentage of par). Now, the contracts have three months left to expiration, and have a price of CAD 148. 


Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.9993


如上，做题时我理解这个买的时候146，时间点是T0, 然后148是三个月以后的，也就是T3, 然后应该把148往前折现了，再与146作差，就得出value，我哪里理解错了，请老师解答下，谢谢。


另外，什么时候是用 1+0.15%* 90/360, 这样的利率表达形式是不是只有swap一种情况？



添加评论
1 个答案

lynn_品职助教 · 2022年01月08日

嗨，从没放弃的小努力你好：


假设现在是时刻T0，那么148是站在3个月后的，然后，146是购买时的价格，也就是说3个月后，合约的long方可以赚得148-146=2。考题求T0时刻这份合约short方的价值，将3个月的2折现到T0，再加个负号即可。同学的思路错在146并不是现在的合约报价，所以根据题目给的已知信息，应该将T3时刻的合约价值折现到T0。

(1+0.15%)* 90/360 这种利率表达形式，同学是问年化利率去年华的方式嘛？衍生品中，所有涉及libor的，如FRA，利率互换，interest rate option等，都是单利，去年化形式都是这种。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 1

    关注

  • 341

    浏览
相关问题

NO.PZ2019010402000059问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500B.CA,996,500C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么这边的利率里的时间是在括号外面，而在FRA相关内容中是在括号里面，二者为什么形式不同呢

2024-02-02 18:39 1 · 回答

NO.PZ2019010402000059 问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500 B.CA,996,500 C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么要除100？

2023-11-02 23:27 1 · 回答

NO.PZ2019010402000059 问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500 B.CA,996,500 C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么不用长期国债定价公式呢FP=（FP bon*（1+r）^t-T-FVCouponunrlying是bon

2023-10-26 01:38 1 · 回答

NO.PZ2019010402000059 问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500 B.CA,996,500 C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 148不是现值吗？我理解应该用148-PV146啊?

2023-10-16 09:25 1 · 回答

NO.PZ2019010402000059问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500B.CA,996,500C.CA,999,300 A is correct本题考察的是重新定价法求远期合约的价值。For the long position: Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 如题，麻烦老师用画图法帮忙求一遍过程

2023-10-05 22:50 2 · 回答