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BESSIEWANG · 2025年05月18日

8从哪里来，老师？

  1. CFA II
  2. Derivative

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

i didn't find it

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1 个答案

李坏_品职助教 · 2025年05月18日

嗨，努力学习的PZer你好：


题目说，BestFutures took a long position in eight 10-year Japanese government bond (JGB) forward contracts


意思是这个机构现在做多了8张债券远期合约。那个0.019988 × (JPY100,000,000)  是一张合约的价值，所以最后要乘以8.

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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