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旋风小铠甲 · 2022年03月19日

这道题的解释中计算conversion price时为什么要乘以1000?

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NO.PZ201909280100001005

问题如下:

Anderson’s conclusion about the profitability of the AVC convertible arbitrage trade is:

选项:

A.

correct

B.

incorrect, because the profit will be higher if the share price decreases

C.

incorrect, because the profit will be higher if the share price increases

解释:

A is correct. The classic convertible bond arbitrage strategy is to buy the relatively undervalued convertible bond and take a short position in the relatively overvalued underlying stock. If the convertible bond’s current price is near the conversion value, then the combination of a long convertible and short equity delta exposure will create a situation where for small changes in the share price and ignoring dividends and borrowing costs, the profit/loss will be the same. The current conversion price of the AVC convertible bond is €1,000 × (115/100)/50 = €23, and the current AVC share price is €28. Thus, by purchasing the convertible bond, selling short the shares, exercising the conversion option, and selling the shares at the current market price, a profit of €5 can be locked in regardless of changes in the share price. The following table demonstrates this result by showing the same trade profit of €5 for three different stock prices:


where

Long stock via convertible bond profit = New share price – Current conversion price

Short stock profit = Current share price – New share price

Total profit = Long stock via convertible bond profit + Short stock profit

Thus, regardless of the share price, the total profit on the convertible arbitrage trade is €5

B is incorrect because if the convertible bond’s current price is near the conversion value, then the combination of a long convertible and short equity delta exposure will create a situation where the profit/loss will be the same (not higher if the share price decreases).

C is incorrect because if the convertible bond’s current price is near the conversion value, then the combination of a long convertible and short equity delta exposure will create a situation where for small changes in equity price, the profit/loss will be the same (not higher if the share price increases).

经典的可转债套利策略是买入相对低估的可转债,做空相对高估的标的股票。如果可转换债券的现价接近转换价值,那么做多可转换股票和做空股票 delta 敞口的组合将造成这样一种情况,即股价的小幅变化而忽略股息和借贷成本,损益将是相同的。 AVC可转债当前转股价格为1000欧元×(115/100)/50=23欧元,当前AVC股价为28欧元。因此,通过购买可转换债券、卖空股票、行使转换选择权并以当前市场价格出售股票,无论股价如何变化,都可以锁定 5 欧元的利润。下表通过显示三种不同股票价格的相同交易利润 5 欧元来证明这一结果:


通过可转换债券获利的多头股 = 新股价格 - 当前转换价格

做空股票利润 = 当前股价 - 新股价

总利润 = 多头股票通过可转换债券利润 + 空头股票利润

因此,无论股价如何,可转换套利交易的总利润为 5 欧元

这道题的解释中计算conversion price时为什么要乘以1000?

1 个答案
已采纳答案

伯恩_品职助教 · 2022年03月20日

嗨,爱思考的PZer你好:


1000是面值,但是题目中并没有提供,这个类似基础班上的例题:Convertible Arbitrage Strategy。由于转换率是50,也就是可以转换成50股,当成价格是28,也就是转换后的价值是50×28=1400.因为面值都是一个整数,而且价值差距不会太,不可能面值1万,或者100,那一边得亏死。所以先猜出来是1000元的面值。

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2023-07-29 17:47 1 · 回答

NO.PZ201909280100001005 问题如下 Anrson’sconclusion about the profitability of the AVC convertible arbitrage tra is: A.corre B.incorrect, because the profit will higher if theshare pricreases C.incorrect, because the profit will higher if theshare priincreases A is correct. The classic convertible bonarbitragestrategy is to buy the relatively unrvalueconvertible bonantake a shortposition in the relatively overvalueunrlying stock. If the convertiblebons current priis nethe conversion value, then the combination of along convertible anshort equity lta exposure will create a situation wherefor small changes in the share prianignoring vin anborrowingcosts, the profit/loss will the same. The current conversion priof theAVC convertible bonis €1,000 × (115/100)/50 = €23, anthe currentAVC share priis €28. Thus, purchasing the convertible bon selling shortthe shares, exercising the conversion option, anselling the shares thecurrent market price, a profit of €5 clockein regaress of changes inthe share price. The following table monstrates this result showing thesame tra profit of €5 for three fferent stoprices:where Long stovia convertible bonprofit = New share pri– Currentconversion priShort stoprofit = Current share pri– New share priTotprofit = Long stovia convertible bonprofit + Short stockprofit Thus, regaress of the share price, the totprofit onthe convertible arbitrage tra is €5B is incorrebecause if the convertible bons currentpriis nethe conversion value, then the combination of a long convertibleanshort equity lta exposure will create a situation where the profit/losswill the same (not higher if the share pricreases). C is incorrebecause if the convertible bons currentpriis nethe conversion value, then the combination of a long convertibleanshort equity lta exposure will create a situation where for small changesin equity price, the profit/loss will the same (not higher if the sharepriincreases). 经典的可转债套利策略是买入相对低估的可转债,做空相对高估的标的股票。如果可转换债券的现价接近转换价值,那么做多可转换股票和做空股票 lta 敞口的组合将造成这样一种情况,即股价的小幅变化而忽略股息和借贷成本,损益将是相同的。 AVC可转债当前转股价格为1000欧元×(115/100)/50=23欧元,当前AVC股价为28欧元。因此,通过购买可转换债券、卖空股票、行使转换选择权并以当前市场价格出售股票,无论股价如何变化,都可以锁定 5 欧元的利润。下表通过显示三种不同股票价格的相同交易利润 5 欧元来证明这一结果通过可转换债券获利的多头股 = 新股价格 - 当前转换价格做空股票利润 = 当前股价 - 新股价总利润 = 多头股票通过可转换债券利润 + 空头股票利润因此,无论股价如何,可转换套利交易的总利润为 5 欧元 PS1000是面值,但是题目中并没有提供,这个类似基础班上的例题Convertible Arbitrage Strategy。由于转换率是50,也就是可以转换成50股,当成价格是28,也就是转换后的价值是50×28=1400.因为面值都是一个整数,而且价值差距不会太,不可能面值1万,或者100,那一边得亏死。所以先猜出来是1000元的面值。 如题

2023-06-22 14:48 1 · 回答