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yycfa · 2024年03月10日

折现率

  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

这个题目中是个股的forward contract，非index，用continuoulsy compounded risk free rate折现。如果该题中给的是离散的rf, 是不是就应该用离散的rf来折现？而如果一个index forward contract, 如果题目中只给了离散的rf, 是不是也只能用离散的rf 而不能用e指数的形式 折现？

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1 个答案

李坏_品职助教 · 2024年03月11日

嗨，从没放弃的小努力你好：


是否使用连续复利，要根据题目的要求来。本题如果给的是离散复利的rf，那就用离散复利。


index forward如果给的是离散复利，那也要按照离散的公式来计算。

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