经典题讲解

问题如下：

A trader in the arbitrage unit of a multinational bank finds that an asset is trading at USD 1,000, the price of a 1-year futures contract on that asset is USD 1,010, and the price of a 2-year futures contract is USD 1,025. Assume that there are no cash flows from the asset for 2 years. If the term structure of interest rates is flat at 1% per year, which of the following is an appropriate arbitrage strategy?

选项：

A.

Short 2-year futures and long 1-year futures

B.

Short 1-year futures and long 2-year futures

C.

Short 2-year futures and long the underlying asset funded by borrowing for 2 years

D.

Short 1-year futures and long the underlying asset funded by borrowing for 1 year

解释：

The 1-year futures price should be 1000*e^(0.01)=1010.25

The 2-year futures price should be 1000*e^(0.01*2 )=1020.20

The current 2-year futures price in the market is overvalued compared to the theoretical price. To lock in a profit, you would short the 2 year futures, borrow USD 1,000 at 1%, and buy the underlying asset. At the end of the 2nd years, you will sell the asset at USD 1,025 and return the borrowed money with interest, which would be , resulting in a USD 4.80 gain.

1000*e^(0.01*2 )=1020.20