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jvniki · 2023年05月28日

怎么确定的short的头寸，是因为半年之后要以175.8卖掉一半的原因么

  1. CFA I
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202208260100000402

问题如下：

A Baywhite client currently owns 5,000 common non-dividend-paying shares of Vivivyu Inc. (VIVU), a digital media company, at a spot price of USD173 per share. The client enters into a forward commitment to sell half of its VIVU position in six months at a price of USD175.58. Which of the following market events is most likely to result in the greatest gain in the VIVU forward contract MTM value from the client's perspective?

选项：

A.An increase in the risk-free rate B.An immediate decline in the VIVU spot price following contract inception C.A steady rise in the spot price of VIVU stock over time

解释：

Solution

B is correct.

The original VIVU spot price (S0) at t = 0 must equal the present value of the forward price discounted at the risk-free rate, so an immediate fall in the spot price to S0- < S0 results in an MTM gain for the forward contract seller. A is not correct, since a higher risk-free rate will reduce the contract MTM from the client's perspective by reducing the PV of F0(T), while C will also reduce the forward contract MTM from the seller's perspective.

中文解析：

根据题干可知，客户想要通过远期合约在六个月后减少持有的股票头寸，因此他应该进入的是short forward头寸。

Short forward头寸下，MTM value = F0(T)/(1+r)T-t - St

由上式可以看到：无风险利率上涨，以及股票价格上涨，都会使得MTM value下降。而股票价格下跌，会使得MTM value上涨。因此选B。

卖股票，不能低于175.8.是这么理解么

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Lucky_品职助教 · 2023年05月29日

嗨，努力学习的PZer你好：


是的，题干中提到客户进入了一个 forward commitment 来减少持有的股票头寸，这意味着客户所做的交易应该是 Short Forward 头寸，即未来卖出一定数量的股票。而题目中又指出客户计划在六个月后卖出他持有的 VIVU 的一半股份，因此该客户售出的股票数量应为原来的 5,000 股的一半，即 2,500 股。

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NO.PZ202208260100000402问题如下A Baywhite client currently owns 5,000 common non-vinpaying shares of Vivivyu In(VIVU), a gitmea company, a spot priof US73 per share. The client enters into a forwarcommitment to sell half of its VIVU position in six months a priof US75.58. Whiof the following market events is most likely to result in the greatest gain in the VIVU forwarcontraMTM value from the client's perspective?A.increase in the risk-free rateB.immeate cline in the VIVU spot prifollowing contrainceptionC.A stea rise in the spot priof VIVU stoover time SolutionB is correct. The originVIVU spot pri(S0) t = 0 must equthe present value of the forwarpriscountethe risk-free rate, so immeate fall in the spot prito S0- S0 results in MTM gain for the forwarcontraseller. A is not correct, sina higher risk-free rate will rethe contraMTM from the client's perspective recing the PV of F0(T), while C will also rethe forwarcontraMTM from the seller's perspective. 中文解析根据题干可知，客户想要通过远期合约在六个月后减少持有的股票头寸，因此他应该进入的是shortforwar寸。Short forwar寸下，MTMvalue = F0(T)/(1+r)T-t - St由上式可以看到无风险利率上涨，以及股票价格上涨，都会使得MTMvalue下降。而股票价格下跌，会使得MTMvalue上涨。因此选老师，这个 short forwar的公式是什么，在讲义哪里？

2024-01-03 23:18 1 · 回答