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Jessica XU · 2024年05月14日

如题

  1. CFA I
  2. Derivative

NO.PZ2023040401000048

问题如下：

Which of the following statements best describes changes in the value of a long forward position during its life?

选项：

A.

As interest rates go down, the value of the position goes up.

B.

As the price of the underlying goes up, the value of the position goes up.

C.

As the time to maturity goes down, the value of the position goes up

解释：

Given the formula for the value of a forward contract:

Vt(T)= St - F0(T) (1+r)-(T-t)

it follows that the value of the contract goes up as the price of the underlying goes up.

可以解释一下c为什么是错的吗


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1 个答案

李坏_品职助教 · 2024年05月14日

嗨，爱思考的PZer你好：


题目说的是value of a long forward position，也就是远期合约多头的价值如何变化。

远期合约多头价值的公式：

C选项说的是当期限缩短的时候，价值上升。

但是看上面的公式，当期限(T-t)缩短时，F0(T)*(1+r)^-(T-t)这个整体是变大的，所以Vt(T)=St减去 一个变大的数，所以价值Vt(T)是下降的。C选项错误。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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