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兔小兔 · 2022年01月27日

我和答案不对 哪里错了？

  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



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Hertz_品职助教 · 2022年01月29日

嗨，从没放弃的小努力你好：


同学你好~

这道题目给到了一开始是远期合约的价格和现在远期合约的价格，因此直接使用重新定价法对远期合约估值即可。

需要注意的是148和146是以面值100进行报价的，题干中也有说明“(quoted as a percentage of par)”，因此同学求value的等式中需要将148-146的差值先除以100，然后再乘以100million，这样计算就没有问题了。

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努力的时光都是限量版，加油！

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