问一道题：NO.PZ201702190300000107 第7小题 [ CFA II ]

* 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：

$1.6549.

$5.1561.

$6.6549.

解释：

C is correct.

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

F_0.25(T) = FV₀_.25,_T(S_0.25 + 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

V_0.25(T)=PV_0.25,_T[F_0.25(T) – F₀(T)]

V_0.₂₅(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.

这题说到了分红是半年一付，1.5$，为什么不需要除以2？

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WallE_品职答疑助手 · 2020年08月14日

同学你好，

题干说的是半年付一次价值1.5的分红。不是每年分红1.5半年付一次。

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问一道题：NO.PZ201702190300000107 第7小题 [ CFA II ]

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