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EvanWu · 2020年06月28日

问一道题：NO.PZ201702190300000107

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

问题如下：

7.Based on Exhibits 2 and 3, and assuming annual compounding, the per share value of Troubadour’s short position in the TSI forward contract three months after contract initiation is closest to:

选项：

A.

$1.6549.

B.

$5.1561.

C.

$6.6549.

解释：

C is correct.

The no-arbitrage price of the forward contract, three months after contract initiation, is

F0.25(T) = FV0.25,T(S0.25 + θ.25 –γ0.25)

F0.25(T) = [$245 + 0 - $1.50/(1 + 0.00325)(0.5 - 0.25)](1 + 0.00325)(0.75 -0.25) = $243.8966

Therefore, from the perspective of the long, the value of the TSI forward contract is

V0.25(T)=PV0.25,T [F0.25(T) – F0(T)]

V0.25(T) = ($243.8966- $250.562289)/(1 + 0.00325)0.75 - 0.25 =-$6.6549

Because Troubadour is short the TSI forward contract, the value of his position is a gain of $6.6549.

long position期间分红拿不到要减去，那short position呢？期间分红拿的到吗？可以画一个short position的画图法吗？

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1 个答案

xiaowan_品职助教 · 2020年06月28日

嗨，爱思考的PZer你好：


同学你好，

期货合约是零和游戏，long方的对手方就是short方，所以成交的价格是一样的，只有方向不同，所以最简单的理解方法就是在long的基础上加负号即可。

 


-------------------------------
加油吧，让我们一起遇见更好的自己！


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