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CC · 2023年08月23日

Forward contract value 计算

  1. CFA II
  2. Derivative

NO.PZ2023020101000004

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

  1.  怎么判断这个头寸？正负
  2. 图表中 30天的price和当天的price，1）如何区分？2）30天的价格，是站在今天这个时刻，30天之后的价格么？那是不是说value更好？

3） today price就是今天此时此刻的价格？

3.这题要画图如何画？

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1 个答案
已采纳答案

Lucky_品职助教 · 2023年08月24日

嗨，爱思考的PZer你好：


1、she entered a long 60-day forward position 说明她是long方。根据李老师讲的，就按照我们平时算法计算，如果是long方，就是我们算出来的数，如果是short方，就加个负号；

2、100.3是说在0时刻，签的6个月合约约定的价格；96.31是说在3时点，如果签一份3个月的合约，约定的到期价格；这俩价格都是约定的6时点的交割价格，所以可以看出大家对6时点价格的预期有变化；

3、96是说当前市场标的物的价格，就是基础资产的价格，和远期合同无关；可以类比买水，目前市场上水是96块，但其他人可以对水的未来价格做出预判，签订认为将来水涨到100.3或者96.31的合约，但这些合约不会影响当前水的价格的；

4、这道题不适合画图，给出了市场上新的合约价格，需要按照重新定价法来计算

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Amy pro · 2023年10月08日

96.31=96*(1+rf)(30/360),另一个解析里面是按照这个公司算rf的？怎么解释这个式子？

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