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向雨潇 · 2022年04月08日

为什么future value=future price *multiplier.

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000207

问题如下：

In preparation for receipt of the performance bonus, Tong should immediately:

选项：

A.

buy two US E-mini equity futures contracts.

B.

sell nine US E-mini equity futures contracts.

C.

buy seven US E-mini equity futures contracts.

解释：

C is correct. The amount of the performance bonus that will be received in one month (USD5,750,000) needs to be invested passively based upon the strategic allocation recommended by Tong. Using the strategic allocation of the portfolio, 15% (USD862,500.00) should be allocated to US equity exposure using the S&P 500 E-mini contract, which trades in US dollars. Because the futures price is 2,464.29 and the S&P 500 E-mini multiplier is 50, the contract unit value is USD123,214.50 (2,464.29 × 50).

The correct number of futures contracts is (5,750,000.00 × 0.15)/123,214.50 = 7.00.

Therefore, Tong will buy seven S&P 500 E-mini futures contracts.

这个 multiplier代表的是什么含义

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1 个答案

笛子_品职助教 · 2022年04月09日

嗨，从没放弃的小努力你好：


multiplier是指乘数。

multiplier=50，意思是，小标准普尔指数期货每个点代表50美元。


在本题，小标准普尔指数期货价格是2,464.29，每隔指数点代表50美元，一张合约价值是2,464.29 × 50

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