NO.PZ2023041003000018
问题如下：
After discussing Kemper’s
new investment ideas, Doyle and Kemper evaluate one of their existing forward
contract positions. Three months ago, BestFutures took a long position in eight
10-year Japanese government bond (JGB) forward contracts, with each contract
having a contract notional value of 100 million yen. The contracts had a
price of JPY153 (quoted as a percentage of par) when the contracts were
purchased.
Now, the contracts have
six months left to expiration and have a price of JPY155. The annualized
six-month interest rate is 0.12%. Doyle asks Kemper to value the JGB forward
position.
The value of the JGB
long forward position is closest to：
选项：
A.
JPY15,980,823.
B.
JPY15,990,409.
C.
JPY16,000,000.
解释：
The value of the JGB
forward position is calculated as：
Therefore, the value
of the long forward position is 1.9988 per JPY100 par value. For the long
position in eight contracts with each contract having a par value of
100 million yen, the value of the position is calculated as
0.019988 × (JPY100,000,000) × 8 = JPY15,990,409
按照6个月折现是怎么计算出来的？
