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洋葱头 · 2023年10月03日

什么时候用e折线 什么时候用普通的折现?

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

如题 普通折现就是1/(1+r)怎么区分

1 个答案

李坏_品职助教 · 2023年10月03日

嗨,努力学习的PZer你好:


首先对于期限很短的情况下,离散复利(普通折现)和连续复利的差距非常小,不会影响选出正确答案。

如果要区分的话,对于股指期货、商品期货、期权,可以用连续复利,其他的比如利率互换、债券定价,可以用普通折现。

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努力的时光都是限量版,加油!

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