natalie2003 · 2020年11月29日

问一道题：NO.PZ201702190300000105

1. CFA II
2. Derivative

* 问题详情，请 查看题干

问题如下：

5. Based on Exhibit 2, Troubadour should find that an arbitrage opportunity relating to TSI shares is

选项：

A.

not available.

B.

available based on carry arbitrage.

C.

available based on reverse carry arbitrage.

解释：

A is correct.

The carry arbitrage model price of the forward contract is FV(S₀) = S₀(1 + r)^T= $250(1 + 0.003)^0.75 = $250.562289.

The market price of the TSI forward contract is $250.562289. A carry or reverse carry arbitrage opportunity does not exist because the market price of the forward contract is equal to the carry arbitrage model price.

老师到底从哪里能看出来应该用0.3%作为无风险利率……