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.
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
