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alivia · 2020年02月29日

问一道题：NO.PZ201702190300000104

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

问题如下：

4. The value of Position 3 is closest to:

选项：

A.

-¥40,020.

B.

¥139,913.

C.

¥239,963.

解释：

C is correct.

The current no-arbitrage price of the forward contract is

Ft(¥/$,T) = St(¥/$)FV¥,t,T(1)/FV$,t,T(1)

Ft(¥/$,T) = ¥112.00(1 - 0.002)0.25/(1 + 0.003)0.25 = ¥111.8602

Therefore, the value of Troubadour’s position in the ¥/$ forward contract, on a per dollar basis, is

Vt(T) = PV¥,t,T[F0(¥/$,T) - Ft(¥/$,T)]

=(112.10 - 111.8602)/(1 - 0.002)025 = ¥0.239963 per $1

Troubadour’s position is a short position of $1,000,000, so the short position has a positive value of (¥0.239963/$) x $1,000,000 = ¥239,963 because the forward rate has fallen since the contract initiation.

又听了一遍李老师的课，确定差价法应该用RF折现，所以答案解答是错的

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1 个答案

xiaowan_品职助教 · 2020年02月29日

嗨，爱思考的PZer你好：


同学你好，老师课上讲的是针对远期合约本身定价时，采用重新定价法该如何折现，

这道题的解析中是将分析的标的转换为yen/usd，yen是标价货币，所以应该用它对应的利率进行折现，

这道题用画图法来解更加容易理解


-------------------------------
努力的时光都是限量版，加油！


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