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unique · 2021年04月21日

关于annual compounding和continuous compounding

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201702190300000107

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.

请问老师，annual compounding用(1+rf)^t计算，continues compounding用e^(rf*t)计算吗

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1 个答案

WallE_品职答疑助手 · 2021年04月21日

嗨，爱思考的PZer你好：


是的哈。

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努力的时光都是限量版，加油！

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相关问题

NO.PZ201702190300000107 $5.1561. $6.6549. C is correct. The no-arbitrage priof the forwarcontract, three months after contrainitiation, 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 forwarcontrais 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 Troubaur is short the TSI forwarcontract, the value of his position is a gain of $6.6549.在long position中 T时刻有权以fp买入资产，说明还未持有该资产，因此v取不到那么short position对应的不是应该在T时刻卖出，而现在是持有该资产的吗？既然持有v为什么是减去呢难道所有头寸都是无法取得v吗？

2021-11-03 11:37 2 · 回答

NO.PZ201702190300000107 老师 我PVCt和AIt有点分不清楚

2021-04-15 11:12 1 · 回答

老师可以请你用画图法不是重新定价法解答一下这个题目吗？感谢您

2020-08-18 00:35 1 · 回答

$5.1561. $6.6549. C is correct. The no-arbitrage priof the forwarcontract, three months after contrainitiation, 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 forwarcontrais 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 Troubaur is short the TSI forwarcontract, 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？

2020-08-14 15:34 1 · 回答