开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

张文文 · 2023年08月23日

老师请问这道题如果用画图法怎么做呢?

NO.PZ2023020101000005

问题如下:

Ryan Parisi is a managing director in the derivatives group at High Ridge Partners, an investment management firm. Parisi specializes in advising institutional clients on the use of forward contracts in their portfolio management strategies. Parisi is preparing a response to questions from one of the firm’s US-based clients: Leslie Sheroda. Todd Curry, an intern in the derivatives group, will assist Parisi.

Leslie Sheroda oversees both equity and fixed-income portfolios for a pension fund. One month (30 days) ago, Sheroda had indicated that the pension fund expected a large inflow of cash in 60 days. In order to hedge against a potential rise in equity values over this period, Parisi advised Sheroda to enter into a long forward contract on the UAX 300 Index expiring in 60 days.

Prior to the meeting, Parisi shows the spot price of the UAX 300 index in Exhibit 1 to Curry and asks how the 30-day forward price will relate to the current level of the index. Curry compares the spot index to the forward price.

Exhibit 1: Selected Financial Information for Sheroda Meeting

Assuming a 360-day year, the value of Sheroda’s forward contract on the UAX index is closest to:

选项:

A.

USD 52.18

B.

USD 49.16

C.

USD 50.71

解释:

The 30-day forward price is Ft(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360) = 1,452.54.

Vt(T) = PVt,T[Ft(T) – F0(T)] = e–0.0392(30/360)(1,452.54 – 1,403.22) = 49.16

老师请问这道题如果用画图法怎么做呢?

1 个答案

Lucky_品职助教 · 2023年08月24日

嗨,从没放弃的小努力你好:


这道题不适合画图法,给的数据很容易算出市场上新的合约价格,需要按照重新定价法来计算,而且重新定价法是书本上介绍的方法,画图法只是李老师介绍的一种方法,还是要多练习使用重新定价法做题哦

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 0

    关注
  • 370

    浏览
相关问题

NO.PZ2023020101000005问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingAssuming a 360-y year,the value of Shero’s forwarcontraon the Uinx is closest to: A.US52.18B.US49.16C.US50.71 The30-y forwarpriis Ft(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54.Vt(T) = PVt,T[Ft(T) – F0(T)] = e–0.0392(30/360)(1,452.54– 1,403.22) = 49.16 不是很读懂题目,尤其是题目所涉及的那个时间段。可以使用画图题目吗?

2024-10-13 00:07 1 · 回答

NO.PZ2023020101000005 问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingAssuming a 360-y year,the value of Shero’s forwarcontraon the Uinx is closest to: A.US52.18 B.US49.16 C.US50.71 The30-y forwarpriis Ft(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54.Vt(T) = PVt,T[Ft(T) – F0(T)] = e–0.0392(30/360)(1,452.54– 1,403.22) = 49.16 题目说一个月前,两个月后有一笔金额需要hee;又说要用60的contract来hee,到期时间和折现计算时间,怎么看?

2024-05-05 22:16 1 · 回答

NO.PZ2023020101000005 问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingAssuming a 360-y year,the value of Shero’s forwarcontraon the Uinx is closest to: A.US52.18 B.US49.16 C.US50.71 The30-y forwarpriis Ft(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54.Vt(T) = PVt,T[Ft(T) – F0(T)] = e–0.0392(30/360)(1,452.54– 1,403.22) = 49.16 这题什么条件可以用画图法,这个重新定价和画图在这题的那个条件是看出来的?

2024-01-31 12:00 1 · 回答

NO.PZ2023020101000005问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingAssuming a 360-y year,the value of Shero’s forwarcontraon the Uinx is closest to: A.US52.18B.US49.16C.US50.71 The30-y forwarpriis Ft(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54.Vt(T) = PVt,T[Ft(T) – F0(T)] = e–0.0392(30/360)(1,452.54– 1,403.22) = 49.16 如题 普通折现就是1/(1+r)怎么区分

2023-10-03 00:31 1 · 回答

NO.PZ2023020101000005问题如下 RyParisi is a managing rector in therivatives group High Rie Partners, investment management firm. Parisispecializes in aising institutionclients on the use of forwarcontractsin their portfolio management strategies. Parisi is preparing a response toquestions from one of the firm’s US-baseclients: Leslie Shero. To Curry,intern in the rivatives group, will assist Parisi.Leslie Shero oversees both equity anixeincome portfolios for a pension fun One month (30 ys) ago, Sherohincateththe pension funexpectea large inflow of cash in 60 ys.In orr to hee against a potentirise in equity values over this perioParisi aiseShero to enter into a long forwarcontraon the U300Inx expiring in 60 ys.Prior to the meeting, Parisi shows thespot priof the U300 inx in Exhibit 1 to Curry anasks how the 30-y forwarriwill relate to the current level of the inx. Curry compares the spotinx to the forwarprice.Exhibit1: SelecteFinanciInformation for Shero MeetingAssuming a 360-y year,the value of Shero’s forwarcontraon the Uinx is closest to: A.US52.18B.US49.16C.US50.71 The30-y forwarpriis Ft(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)(30/360)= 1,452.54.Vt(T) = PVt,T[Ft(T) – F0(T)] = e–0.0392(30/360)(1,452.54– 1,403.22) = 49.16 如题 这个知识点基础班视频哪里有?折现为什么用e?

2023-10-03 00:27 1 · 回答