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张文文 · 2023年08月23日

老师请问这里为什么用e折现呢，不是annual compounded吗？

  1. CFA II
  2. Derivative

NO.PZ2023020101000006

问题如下：

Sheroda determined she was also underweight in one individual stock. Thirty days ago, she entered a long 60-day forward position on CHJ common stock, which does not pay a dividend. Sheroda has asked Parisi to calculate the value of her two forward positions today—that is, 30 days after the contracts were initiated. Parisi has collected the information in Exhibit 1 to carry out the valuation assignment.

Exhibit 1: Selected Financial Information for Sheroda Meeting

Based on the information in Exhibit 1 and assuming a 360-day year, the value of Sheroda’s forward contract on the CHJ stock is closest to:

选项：

A.

3.99 USD.

B.

–3.98 USD.

C.

–4.29 USD.

解释：

B is correct. The value of the forward contract is:

Vt(T) = PVt,T[Ft(T) – F0(T)]

= e–0.0392(30/360)(96.31 – 100.30) = –3.98

老师请问这里为什么用e折现呢，不是annual compounded吗？

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1 个答案

Lucky_品职助教 · 2023年08月24日

嗨，努力学习的PZer你好：


continious compounded interest rate（连续复利)，看到continious 就要用e了

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