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FrankSun · 2021年10月12日

问一下画图的方向

  1. CFA II
  2. Derivative

NO.PZ2019010402000059

问题如下：

One months ago, Harvey took a short position in five 10-year Canadian government bond forward contracts, with each contract having a contract notional value of 100 million CAD. when the contracts were purchased, the contracts had a price of CAD 146 (quoted as a percentage of par). Now, the contracts have three months left to expiration, and have a price of CAD 148. The annualized three-month interest rate is 0.15%. The value of the forward contract is :

选项：

A.

- CAD9,996,500

B.

CAD9,996,500

C.

CAD1,999,300

解释：

A is correct

本题考察的是重新定价法求远期合约的价值。

For the long position:

Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.9993

1.9993/100 * 100,000,000 * 5= CAD9,996,500

本题求解的是short position，因此取负号为 - CAD9,996,500

老师，请问一下画图的时候，如何分辨这道题CAD148和146是向上还是向下的方向呢？

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已采纳答案

WallE_品职答疑助手 · 2021年10月13日

嗨，努力学习的PZer你好：


按题目描述的就知道了。


 Harvey took a short position，空头就是向下，when the contracts were purchased, the contracts had a price of CAD 146 ，所以是-146


have a price of CAD 148，现在148，你要看到底亏了/赚了多少钱，就在做差，所以是148-146。但是你是空头方所以是负号，你算亏了多少。（就好比你之前卖可乐2块钱，今天可乐值3块钱，你卖亏了1块钱一样去理解）

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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