附加：习题讲解.ppt

习题讲解

期货定价.a5.9A1-yearlongforwardcontractonanon-dividend-payingstockisenteredintowhenstockpriceis$40andtherisk-freerateofinterestis10%perannumwithcontinuouscompounding.Whataretheforwardpriceandtheinitialvalueoftheforwardcontract?Sixmonthslater,thepriceofthestockis$45andtherisk-freeinterestrateisstill10%.Whataretheforwardpriceandthevalueoftheforwardcontract?2

期货定价.b5.14The2-monthinterestratesinSwitzerlandandtheUnitedStatesare,respectively,3%and8%perannumwithcontinuouscompounding.ThespotpriceoftheSwissfrancis$0.6500.Thefuturesforacontractdeliverablein2monthsis$0.6600.Whatarbitrageopportunitiesdoesthiscreate?3

期货定价.c5.27Atraderownsgoldaspartofalong-terminvestmentportfolio.Thetradercanbuygoldfor$450perounceandsellitfor$449perounce.Thetradercanborrowfundsat6%peryearandinvestfundsat5.5%peryear(bothinterestratesareexpressedwithannualcompounding)forwhatrangeof1-yearforwardpricesofgolddoesthetraderhavenoarbitrageopportunities?Assumethereisnobid-askspreadforforwardprices.4

利率期货.a6.14Supposethatthe300-dayLIBORzerorateis4%perannumandEurodollarquotesforcontractsmaturingin300,398and489daysare95.83,95.62and95.48.Calculate398-dayand489-dayzerorates.Assumenodifferencebetweenforwardandfuturesrateforpurposeofyourcalculations.5

利率期货.b6.17OnAugust1,aportfoliomanagerhasabondportfolioworth$10million.ThedurationoftheportfolioinOctoberwillbe7.1years.TheDecemberTreasurybondfuturespriceiscurrently91-12andthecheapest-to-deliverbondwillhaveadurationof8.8yearsatmaturity.Howshouldtheportfoliomanagerimmunizetheportfolioagainstchangesininterestratesoverthenext2months?6

互换.a7.5Acurrencyswaphasaremaininglifeof15months.Itinvolvesexchanginginterestat14%on￡20millionforinterestat10%on$30