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金融民工阿聪 · 2022年02月18日

关于复利的问题

  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

衍生品这科里面，是不是只有FRA中的LIBOR是默认360天的单利计算之外，其他的都是使用360天的复利计算？（如果没有提前说明是何种利息，就如本题只说了是annualized rate的话）

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1 个答案

Lucky_品职助教 · 2022年02月19日

嗨，爱思考的PZer你好：


在衍生品中，凡是涉及到libor 的都用单利计算，比如FRA、Swap。一般题目在给出条件的时候都会说的很清楚 是libor（单利）还是annual compounded interest rate（离散复利）还是continious compounded interest rate（连续复利)，本题题干不太严谨。

如果考试遇到类似情况，可以用连续复利试一试有没有对应答案~ 不过考试题目都会严谨一些~

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