淑同學(xué)
2025-04-17 10:16Three months ago (90 days), Kim purchased a bond with a 3% annual coupon and a maturity date of seven years from the date of purchase. The bond has a face value of US$1,000 and pays interest every 180 days from the date of issue. Kim is concerned about a potential increase in interest rates over the next year and has approached Riley for advice on how to use forward contracts to manage this risk. Riley advises Kim to enter into a short position in a fixed-income forward contract expiring in 360 days. The annualized risk-free rate now is 1.5% per year and the price of the bond with accrued interest is US$1,103.45.這道題是協(xié)會(huì)官網(wǎng)題目，有點(diǎn)搞不清楚各種時(shí)間。case說(shuō)90天以前買(mǎi)了債券，現(xiàn)在想買(mǎi)1年的遠(yuǎn)期合約，為什么定價(jià)還是給360天的遠(yuǎn)期合約定價(jià)呢？不應(yīng)該是450天以后嗎？
所屬：CFA Level II > Derivatives 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Essie助教
2025-04-21 09:42
該回答已被題主采納
同學(xué)你好，你想買(mǎi)多長(zhǎng)時(shí)間的遠(yuǎn)期合約，那么遠(yuǎn)期合約定價(jià)定的就是多長(zhǎng)時(shí)間。無(wú)論Kim是在什么時(shí)候購(gòu)入債券的。但是站在今天，他想簽訂一份360天的遠(yuǎn)期合約，那么你定價(jià)的時(shí)間，公式中遠(yuǎn)期合約的期限就是360天。
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追問(wèn)
明白了，謝謝
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追答
不客氣，祝學(xué)習(xí)順利
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