CFA二级-集训营直播-衍生-习题.docx

(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-Merton(BSM)model®OptionGreeksDerivativesApplicationR41DerivativesStrategiesoptionstrategies®equityforwardcontractsequityindexforwardcontractsPricingandVdlUdtiorlofforwardContQCtcurrencyforwardcontractsfixedincomeforwardcontractsCarry arbitrage modelCash-and-carryArbitrage:F0>S0(1÷r)TReverseCash-and-CarryArbhrage:FO(T)<S0(1÷)aT Pricing and Valuation of FRADefinationPricing and Valuation of fixed income futures Interest Rate Swap contractsPricing and Valuation of Swap Currency swap contractsEquity swap contractsR39PricingandValuationofForwardCommitmentsOne-period binomial model Binomial Option Valuation ModelHedge ratioTwo-period binomial modelR40 Valuation ofContingent ClaimsBlack-Scholes-Merton (BSM) modelBinomialinterestratetreeAssumption/FormuIasZInterpretationBSMmodelsforoptionsonfutures,interestrateoptionSwaptionOptk>nGreeksOptionGreeksDeltahedgeThefollowinginformationrelatestoQuestions1-7DonaldTroubadourisaderivativestraderforSouthernShoresInvestments.Thefirmseeksarbitrageopportunitiesintheforwardandfuturesmarketsusingthecarryarbitragemodel.Exhibit1.CurrentDataforFuturesandUnderlyingBondFuturesContractUnderlyingBondQuotedfuturesprice125.00Quotedbondprice112.00Conversionfactor0.90Accruedinterestsincelastcouponpayment0.08TimeremainingtocontractexpirationAccruedinterestoverlifeoffuturescontractThreemonths0.00Accruedinterestatfuturescontractexpiration0.20Troubadouridentifiesanarbitrageopportunityrelatingtoafixed-incomefuturescontractanditsunderlyingbond.CurrentdataonthefuturescontractandunderlyingbondarepresentedinExhibit1.Thecurrentannualcompoundedrisk-freerateis0.30%.Troubadournextgathersinformationonthreeexistingpositions.Position1(Nikkei225FuturesContract):TroubadourholdsalongpositioninaNikkei225futurescontractthathasaremainingmaturityofthreemonths.ThecontinuouslycompoundeddividendyieldontheNikkei225StockIndexis1.1%,andthecurrentstockindexlevelis16,080.Thecontinuouslycompoundedannualinterestrateis0.2996%.Position2(Euro/JGBForwardContract):Onemonthago,Troubadourpurchasedeuro/yenforwardcontractswiththreemonthstoexpirationataquotedpriceof100.20(quotedasapercentageofpar).Thecontractnotionalamountis¥100,000,000.Thecurrentforwardpriceis100.05.,.Case1Position3(JPY/USDCurrencyForwardContract):Troubadourholdsashortpositioninayen/USdollarforwardcontractwithanotionalvalueof$1,000,000.Atcontractinitiation,theforwardratewas¥112.10per$1.Theforwardcontractexpiresinthreemonths.Thecurrentspotexchangerateis¥112.00per$1,andtheannuallycompoundedrisk-freeratesare-0.20%fortheyenand0.30%fortheUSdollar.Thecurrentquotedpriceoftheforwardcontractisequaltotheno-arbitrageprice.TroubadournextconsidersanequityforwardcontractforTexasSteel,Inc.(TSI).InformationregardingTSIcommonsharesandaTSIequityforwardcontractispresentedinExhibit2.Exhibit2SelectedInformationforTSIThepricepershareofTSscommonsharesis$250.Theforwardpricepershareforanine-monthTSIequityforwardcontractis$250.562289.Assumeannualcompounding.TroubadourtakesashortpositionintheTSIequityforwardcontract.Hissupervisorasks,Underwhichscenariowouldourpositionexperiencealoss?"Threemonthsaftercontractinitiation,TroubadourgathersinformationonTSIandtherisk-freerate,whichispresentedinExhibit3.Exhibit3.SelectedDataonTSlandtheRisk-FreeRateThepricepershareofTSscommonsharesis$245.Therisk-freerateis0.325%(quotedonanannualcompoundingbasis).TSlrecentlyannounceditsregularsemiannualdividendof$1.50persharethatwillbepaidexactlythreemonthsbeforecontractexpiration.ThemarketpriceoftheTSIequityforwardcontractisequaltotheno-arbitrageforwardprice.三.0d.0qsdv-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-OU<ISHO)AJ-UlTUOddO°MPJ=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