AJI · 2021年05月20日

此题中条件有疑问

1. CFA II
2. Derivative

* 问题详情，请 查看题干

NO.PZ201702190300000105

问题如下：

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.

请问条件中此句“The current quoted price of the forward is equal to no arbitrage price”，对解题有何用意呢？