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karweillas · 2024年07月24日

我这么理解对吗？

  1. CFA II
  2. Derivative

NO.PZ2023020101000007

问题如下：

Parisi proceeds to review an equity forward contract held by Quantum. The contract was initiated thirty days ago when the fund expected a large inflow of cash in 60 days. In order to hedge against a potential rise in equity values over this period, Quantum entered into a long forward contract on the UAX 300 Index expiring in 60 days. Sheroda tells Parisi that she estimates the current price of this contract to be USD 1457.38. Parisi collects the information in Exhibit 1 for his review.

Exhibit 1 Selected Financial Information for UAX 300 Forward Contract

Based on the data in Exhibit 1, and given Sheroda’s value of the UAX 300 forward contract, the arbitrage profit is most likely to be:

选项：

A.

greater than zero.

B.

less than zero.

C.

zero.

解释：

The forward contract on the UAX 300 was entered into 30 days ago at a price of 1,403.22. Currently, with 30 days remaining on the contract, the value is

F0(T) = S0e(rc–γ)T = 1450.82e(0.0392–0.025)*(30/360) = 1,452.54

An arbitrageur would sell the futures contract, buy the underlying, and earn a risk-free profit of 4.84.

假设签订时刻为0，现在t=30


那么解析中意思如下：

F30(60)=1452.54


那么在t=T=60时间点，profit=F30(60)-F0(60)=1452.54-1457.38=4.84


另外，如果要算现在(t=30)的value，4.84需要折现：

4.84 / e^(3.92%*30/360)=4.8242



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1 个答案

李坏_品职助教 · 2024年07月24日

嗨，努力学习的PZer你好：


没有问题。


但是在求arbitrage profit时，除非题目明确要求计算present value，否则的话我们不用去折现，直接求出期末的利润即可。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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