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anarchyc · 2020年03月17日

问一道题：NO.PZ2018113001000053

  1. CFA III
  2. Derivative

问题如下：

Olivia, a fund manager, sells $50,000 vega notional of a one-year variance swap on the S&P 500 at a strike of 20% (quoted as annual volatility).

If the one-year realized volatility is 18%, the settlement amount at expiration of the swap for Olivia is:

选项：

A.

pay $95,000 to the swap buyer.

B.

receive $95,000 from the swap buyer.

C.

receive $125,000 from the swap buyer.

解释：

B is correct.

Variance notional = Vega notional/(2*Strike)=50000/(2*20)=1250.

SettlementT = Variance notional × (Realized variance – Variance strike) = 1,250 × (18^2 – 20^2)

= –$95,000

If the payment amount is positive (negative), the swap seller (buyer) pays the swap buyer (seller). So, in this case, Olivia would receive $95,000 from the swap buyer.

请问怎么记住支付方向，有点绕啊

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1 个答案

xiaowan_品职助教 · 2020年03月17日

嗨，爱思考的PZer你好：


同学你好，可以比照一般衍生品的方式来记忆~我们把variance看成是产品的价格，那么当realized variance>strike variance，

相当于期货合约里资产价格高于合约约定价格，那么long方赚钱，也就是seller pays，

相反的情况可以理解成资产价格低于合约约定价格，那么long方亏钱，buyer pays


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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