CFA二级-集训营直播-衍生-习题.docx

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1、(906I0Z)尹喉皿PricingandvaluationofforwardcontractCarryarbitragemodel6R39 Pricing and Valuation of Forward Commitments Pricing and Valuation of FRA Pricing and Valuation of fixed income futuresPricingandValuationofSwap*DerivativesR40ValuationofContingentClaimsBinomialOptionValuationModel3)Black-Scholes

2、-Merton(BSM)modelOptionGreeksDerivativesApplicationR41DerivativesStrategiesoptionstrategiesequityforwardcontractsequityindexforwardcontractsPricingandVdlUdtiorlofforwardContQCtcurrencyforwardcontractsfixedincomeforwardcontractsCarry arbitrage modelCash-and-carryArbitrage:F0S0(1r)TReverseCash-and-Car

3、ryArbhrage:FO(T)nGreeksOptionGreeksDeltahedgeThefollowinginformationrelatestoQuestions1-7DonaldTroubadourisaderivativestraderforSouthernShoresInvestments.Thefirmseeksarbitrageopportunitiesintheforwardandfuturesmarketsusingthecarryarbitragemodel.Exhibit1.CurrentDataforFuturesandUnderlyingBondFuturesC

4、ontractUnderlyingBondQuotedfuturesprice125.00Quotedbondprice112.00Conversionfactor0.90Accruedinterestsincelastcouponpayment0.08TimeremainingtocontractexpirationAccruedinterestoverlifeoffuturescontractThreemonths0.00Accruedinterestatfuturescontractexpiration0.20Troubadouridentifiesanarbitrageopportun

5、ityrelatingtoafixed-incomefuturescontractanditsunderlyingbond.CurrentdataonthefuturescontractandunderlyingbondarepresentedinExhibit1.Thecurrentannualcompoundedrisk-freerateis0.30%.Troubadournextgathersinformationonthreeexistingpositions.Position1(Nikkei225FuturesContract):Troubadourholdsalongpositio

6、ninaNikkei225futurescontractthathasaremainingmaturityofthreemonths.ThecontinuouslycompoundeddividendyieldontheNikkei225StockIndexis1.1%,andthecurrentstockindexlevelis16,080.Thecontinuouslycompoundedannualinterestrateis0.2996%.Position2(Euro/JGBForwardContract):Onemonthago,Troubadourpurchasedeuro/yen

7、forwardcontractswiththreemonthstoexpirationataquotedpriceof100.20(quotedasapercentageofpar).Thecontractnotionalamountis100,000,000.Thecurrentforwardpriceis100.05.,.Case1Position3(JPY/USDCurrencyForwardContract):Troubadourholdsashortpositioninayen/USdollarforwardcontractwithanotionalvalueof$1,000,000

8、.Atcontractinitiation,theforwardratewas112.10per$1.Theforwardcontractexpiresinthreemonths.Thecurrentspotexchangerateis112.00per$1,andtheannuallycompoundedrisk-freeratesare-0.20%fortheyenand0.30%fortheUSdollar.Thecurrentquotedpriceoftheforwardcontractisequaltotheno-arbitrageprice.Troubadournextconsid

9、ersanequityforwardcontractforTexasSteel,Inc.(TSI).InformationregardingTSIcommonsharesandaTSIequityforwardcontractispresentedinExhibit2.Exhibit2SelectedInformationforTSIThepricepershareofTSscommonsharesis$250.Theforwardpricepershareforanine-monthTSIequityforwardcontractis$250.562289.Assumeannualcompo

10、unding.TroubadourtakesashortpositionintheTSIequityforwardcontract.Hissupervisorasks,Underwhichscenariowouldourpositionexperiencealoss?Threemonthsaftercontractinitiation,TroubadourgathersinformationonTSIandtherisk-freerate,whichispresentedinExhibit3.Exhibit3.SelectedDataonTSlandtheRisk-FreeRateThepri

11、cepershareofTSscommonsharesis$245.Therisk-freerateis0.325%(quotedonanannualcompoundingbasis).TSlrecentlyannounceditsregularsemiannualdividendof$1.50persharethatwillbepaidexactlythreemonthsbeforecontractexpiration.ThemarketpriceoftheTSIequityforwardcontractisequaltotheno-arbitrageforwardprice.三.0d.0q

12、sdv-O二sosooSI0SCOQSU-InJnJPUoqUoJlJoJd2olPu-PUnOdLuo。WnUUPMUlEnSSEPUP-IIqIqXXUopgspCQ-2.Thecurrentno-arbitragefuturespriceoftheNikkei225futurescontract(Position1)isclosestto:A.15,951.81.B.16,047.86.C.16,112.21.3.ThevalueofPosition2isclosestto:A.-149,925.B.-150,000.C.-150,075.4.ThevalueofPosition3isclosestto:A.-40,020.B.139,913.C.239,963.心段.qjphJP。OS。AUJUoPuSEq-U.sAm。UoPgSEq三.9qEUEAP-OUISHO)AJ-UlTUOddOMPJ=qpUPIPP三J三OOOHZJ-q-qxwUomc-EnbgUS-。-WC1。EJlU0。PJuoJg三g?Jd-gw=OSEUUPEUIpnbu=PC巨8l三wcUP-3?=E/Oyd2PqSSjSl三sE-Sl-ObcooPJBMJoJ-HMU-PJPMg-IUO=SUnbSeJoS【AJgdns-ortOHOJUSUOdSO