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大白 · 2022年03月24日

时间段请问怎么判断

  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

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？

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1 个答案

Lucky_品职助教 · 2022年03月26日

嗨，努力学习的PZer你好：


用90/360是因为题目没有说这个利率是continuously compounded

这道题目给到了一开始远期合约的价格和现在远期合约的价格，因此直接使用重新定价法对远期合约估值即可。我们现在是在1时点，距离到期还有3个月即到期是在4时点，因此在1时点估值时要折3个月

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