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周梅 · 2024年10月21日

derivatives

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202106160100000101

问题如下：

Using the quotes in Exhibit 1, the amount received by Goldsworthy from converting JPY 225,000,000 will be closest to:

选项：

A.

GBP 1,734,906

B.

GBP 1,735,174

C.

GBP 1,735,442

解释：

A is correct.

Goldsworthy has been given a bid–offer spread. Because she is buying the base currency—in this case, GBP—she must pay the offer price of JPY 129.69 per GBP.

JPY225,000.000129.69  JPY/GBP=GBP1,734,906\frac{JPY225,000.000}{129.69\;JPY/GBP}=GBP1,734,906

考点: Spot rates and forward rates以及bid-offer spread

解析: 题目中说投资者要买GBP，那么就应该使用DEALER关于GBP的卖价做加交易。所以可得

JPY225,000.000129.69  JPY/GBP=GBP1,734,906\frac{JPY225,000.000}{129.69\;JPY/GBP}=GBP1,734,906

The forward price relationship should be F0(T) =FV(S0). If F0(T) < FV(S0), then the forward contract is purchased and the underlying is short sold. This represents a reverse carry arbitrage opportunity.

Because the price of the forward contract expiring in one year of 1,863 is less than 1,867.04, the forward is underpriced relative to the underlying. The index’s expected future value has no effect on the arbitrage analysis.

老师这个知识点在讲解下吧

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1 个答案

李坏_品职助教 · 2024年10月21日

嗨，从没放弃的小努力你好：


合理的远期价格F0(T)应该等于即期价格S0在未来的future value（FV(S0)）。也就是F0(T)应该等于S0 * (1+rf)^T。


如果当前市场上的远期价格F0(T)小于这个合理的远期价格FV(S0)，那就说明当前的远期价格过低，应该通过做多远期合约、做空现货资产，来进行套利。这个叫做reverse carry套利。



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