关于单利复利

NO.PZ2023020101000004 问题如下 Shero termineshe walsounrweight in one invistock. Thirty ys ago, she enterea long 60-yforwarposition on CHJ common stock, whies not pa vin SherohaskeParisi to calculate the value of her two forwarpositions toy—thatis, 30 ys after the contracts were initiate Parisi hcollectetheinformation in Exhibit 1 to carry out the valuation assignment. Annualize risk-free rate is 3.92%.Exhibit1: SelecteFinanciInformation for Shero MeetingBaseon the information in Exhibit 1 anssuming a 360-y year, the value of Shero’s forwarcontraon the CHJstois closest to: A.3.99 US –3.98 US C.–4.29 US B iscorrect. The value of the forwarcontrais:Vt(T) = PVt,T[Ft(T) – F0(T)] =(96.31– 100.30) /(1.0392)^(30/360)= –3.98 公式求value of equity.Vlong=[St - PV] - FP/(1+RF)^T-t带入后= (100.3-0) - 96.31/(1+3.92%)^1/12等于-4.3请问老师 哪里算错了

NO.PZ2023020101000004 问题如下 Shero termineshe walsounrweight in one invistock. Thirty ys ago, she enterea long 60-yforwarposition on CHJ common stock, whies not pa vin SherohaskeParisi to calculate the value of her two forwarpositions toy—thatis, 30 ys after the contracts were initiate Parisi hcollectetheinformation in Exhibit 1 to carry out the valuation assignment. Annualize risk-free rate is 3.92%.Exhibit1: SelecteFinanciInformation for Shero MeetingBaseon the information in Exhibit 1 anssuming a 360-y year, the value of Shero’s forwarcontraon the CHJstois closest to: A.3.99 US –3.98 US C.–4.29 US B iscorrect. The value of the forwarcontrais:Vt(T) = PVt,T[Ft(T) – F0(T)] =(96.31– 100.30) /(1.0392)^(30/360)= –3.98 1、老师，重新定价法，long方为什么是FPt-FP0呢？为啥不是反过来？麻烦讲解下，谢谢2、short方是FP0-FPt吗？

NO.PZ2023020101000004问题如下 Shero termineshe walsounrweight in one invistock. Thirty ys ago, she enterea long 60-yforwarposition on CHJ common stock, whies not pa vin SherohaskeParisi to calculate the value of her two forwarpositions toy—thatis, 30 ys after the contracts were initiate Parisi hcollectetheinformation in Exhibit 1 to carry out the valuation assignment.Exhibit1: SelecteFinanciInformation for Shero MeetingBaseon the information in Exhibit 1 anssuming a 360-y year, the value of Shero’s forwarcontraon the CHJstois closest to: A.3.99 US–3.98 USC.–4.29 US B iscorrect. The value of the forwarcontrais:Vt(T) = PVt,T[Ft(T) – F0(T)] =(96.31– 100.30) /(1.003944)^(30/360)= –3.98 题目不是说计算 two forwarpositions 吗？为什么不乘以2？

NO.PZ2023020101000004 问题如下 Shero termineshe walsounrweight in one invistock. Thirty ys ago, she enterea long 60-yforwarposition on CHJ common stock, whies not pa vin SherohaskeParisi to calculate the value of her two forwarpositions toy—thatis, 30 ys after the contracts were initiate Parisi hcollectetheinformation in Exhibit 1 to carry out the valuation assignment.Exhibit1: SelecteFinanciInformation for Shero MeetingBaseon the information in Exhibit 1 anssuming a 360-y year, the value of Shero’s forwarcontraon the CHJstois closest to: A.3.99 US –3.98 US C.–4.29 US B iscorrect. The value of the forwarcontrais:Vt(T) = PVt,T[Ft(T) – F0(T)] =(96.31– 100.30) /(1.003944)^(30/360)= –3.98 ，您好，我不太理解里面的答案和助教的(已经贴在下方），首先疑惑助教96.31=96*(1+rf)(30/360)这个地方，为什么拿stock来算forwar不是forwar一方，stock算一方？而且按照stock没有复利？当前sotck在30后是96,30天后的forwar前时点价格是96.31（60天到期的0）,（60天到期的forwar96），不是用(96.31-96)*3.92%^(30/360)?而且这题目还不全，看答案是有个复利3.92%“” 此题是equity forwarvaluation，按照教材的讲述，对于单个的stock而言，一般都不采用连续复利的，同学的疑问是对的。首先我们可以根据96.31=96*(1+rf)(30/360),反解出rf=3.94457%,Vt(T)=(96.31 – 100.30)/(1.00394457)(30/360)=-3.98。由于时间期限较短，所以采用连续复利和非连续复利计算的结果是一样的。这道题的解析确实存在一点问题，我们已经在后台做了处理。同学能够发现这个问题，证明同学对于此知识点的掌握是非常扎实的哦，非常棒“”其次答案= e–0.0392(30/360)(96.31 – 100.30)? 不是long forwar?\"Thirty ys ago, she enterea long 60-y forwarposition on CHJ common stock, whies not pa vin\"这题万全不用考虑96的stock？单独算forwar方？