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CC · 2023年08月26日

FP性质

  1. CFA II
  2. Derivative

NO.PZ2023020101000002

问题如下：

Ryan Parisi is a managing director at High Ridge Partners, an investment management firm whose client base is primarily US pension funds. He specializes in advising institutional clients on the use of derivatives in their portfolio management strategies. Parisi is preparing for a meeting with his client Leslie Sheroda who manages the Quantum pension fund.

Leslie Sheroda oversees both equity and fixed-income portfolios for Quantum. She has asked Parisi to assist her in evaluating the derivatives positions held in the pension fund. Sheroda asks Parisi to provide some background on derivative contracts. Parisi makes the following comments:

Which of the comments that Parisi makes to Sheroda describing derivative contracts is least likely correct?

选项：

A.

Comment 2

B.

Comment 3

C.

Comment 1

解释：

Parisi is incorrect with regard to Comment 2. As a result of the no-arbitrage approach, when the forward contract is established, the forward price is negotiated so that the market value of the forward contract on the initiation date is zero.

老师，commence 1 为什么对啊？ 我纠结它不该说是value啊？

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1 个答案

pzqa35 · 2023年08月28日

嗨，努力学习的PZer你好：


Comment1说的是future value，就是说终值的意思，简单点来讲就是要计算现金的时间价值，就是要算上它的利率。我们来看它的表述，它是说forward contract的价格就是underlying asset的价值加上持有成本减去持有收益的终值，用公式就可以表达成：FP=(S0+carry costs-carry benefits)(1+rf)T，这正是forward price最基本的定义式，所以是正确的表述。这里的future value要放在一起来理解，就是计算终值的意思。

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