游得过 · 2024年04月04日

能用画图法算一下答案吗？还有画一下图，谢谢

1. CFA II
2. Derivative

* 问题详情，请 查看题干

NO.PZ202403050900000502

问题如下：

Based on the information in Exhibit 1 and assuming a 360-day year, the value of S&P 500 forward contract today is closest to:

选项：

A.49.55. B.50.19. C.51.81.

解释：

V_t(T) = PV_t,T [F_t (T ) – F₀ (T )]

T = 60/360 = 0.1667

t = 30/360 = 0.0833

T – t = 0.1667 – 0.0833 = 0.0833

Ft(T)=S_te^(rc−γ)T=3,450.82e^{(0.0119−0.0075)0.0833}=3,452.086

V_t(T) = (3,452.086 – 3,402.49)/ e^{0.0119*0.0833} = 49.55

能用画图法算一下答案吗？还有画一下图，谢谢