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antheac · 2020年03月16日

问一道题：NO.PZ2019010402000007

  1. CFA II
  2. Derivative

问题如下：

A manager sold an equity forward contract one month ago. The maturity of forward contract is three months. A dividend of $1 will be paid in one month before contract expiration. The annually compounded risk-free rate is 3%. The current spot price of underlying is $56, and the initial forward price is $60. The value of the manager’s position is:

选项：

A.

-4.7026

B.

4.7026

C.

4.8512

解释：

B is correct.

考点：equity forward contract求value

解析：

画图（long方）：

valuelong=(56−1(1+3%)1/12)−60(1+3%)2/12=−4.7026value_{long}=(56-\frac1{{(1+3\%)}^{1/12}})-\frac{60}{{(1+3\%)}^{2/12}}=-4.7026

因为这一题的头寸是short方，所以value=4.7026

y对时间节点有疑问， 一个月前签订的forward， 时间节点不是应该是-1，合约期三个月， 付diviend是time2, current spot price 发生在time0 ， 求的value不是0时刻的吗？

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1 个答案

xiaowan_品职助教 · 2020年03月16日

嗨，从没放弃的小努力你好：


同学你好，我们这个合约一共是3个月的时间，我们现在设定合约开始的时间点是0时刻，那么0时刻是一个月之前，所以current就应该是1时刻；

如果说我们设定current是0时刻，那么合约开始就是-1时刻，dividend的时间就变成了1时刻，到期时间就变成了2时刻。

所以不论我们设定的时间轴是怎样的，折现的时间区间都是不变的哈，从dividend时刻折到现在是1个月，从到期日折到现在是2个月。

 


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


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