开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

未命名 · 2021年12月29日

亏损还是盈利

  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

我理解和short postion无关，因为short指的是short标的物，但是对于合约的话，把原来的协议set off重新在签一份协议的价格贵了，所以，亏损，这样理解正确么

添加评论
1 个答案

lynn_品职助教 · 2021年12月29日

嗨，爱思考的PZer你好：


不可以这样理解呢，set off协议也要分是short方还是long方的。short就是long的对手方，long方赚多少，short方就亏多少。比方说，1年后 long方10块钱买A期货，1年后A期货的价格是15元。long方按10元的价格买到A期货，赚5元，short方按10元的价格卖价值为15元的A期货，亏5元。

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

  • 1

    回答

  • 0

    关注

  • 356

    浏览
相关问题

NO.PZ2019010402000059问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500B.CA,996,500C.CA,999,300 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 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么这边的利率里的时间是在括号外面，而在FRA相关内容中是在括号里面，二者为什么形式不同呢

2024-02-02 18:39 1 · 回答

NO.PZ2019010402000059 问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500 B.CA,996,500 C.CA,999,300 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 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么要除100？

2023-11-02 23:27 1 · 回答

NO.PZ2019010402000059 问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500 B.CA,996,500 C.CA,999,300 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 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 为什么不用长期国债定价公式呢FP=（FP bon*（1+r）^t-T-FVCouponunrlying是bon

2023-10-26 01:38 1 · 回答

NO.PZ2019010402000059 问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500 B.CA,996,500 C.CA,999,300 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 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 148不是现值吗？我理解应该用148-PV146啊?

2023-10-16 09:25 1 · 回答

NO.PZ2019010402000059问题如下 One months ago, Harveytook a short position in five 10-yeCanagovernment bonforwarontracts, with eacontrahaving a contranotionvalue of 100 millionCA when the contracts were purchase the contracts ha priof C146(quotea percentage of par). Now,the contracts have three months left to expiration, anhave a priof C148.The annualizethree-month interest rate is 0.15%. The value of the forwarontrais : A.- CA,996,500B.CA,996,500C.CA,999,300 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 = 1.99931.9993/100 * 100,000,000 * 5= CA,996,500本题求解的是short position，因此取负号为 - CA,996,500 如题，麻烦老师用画图法帮忙求一遍过程

2023-10-05 22:50 2 · 回答