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
为什么是90/360,感觉题目意思现在在1时刻,还有三个月到期 不应该是一时刻148 再减146向前折一期吗?