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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

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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。

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