文档介绍:该【CFA二级经典题 衍生 打印版 】是由【经管专家】上传分享,文档一共【37】页,该文档可以免费在线阅读,需要了解更多关于【CFA二级经典题 衍生 打印版 】的内容,可以使用淘豆网的站内搜索功能,选择自己适合的文档,以下文字是截取该文章内的部分文字,如需要获得完整电子版,请下载此文档到您的设备,方便您编辑和打印。Derivatives),'з????????1-181Reading37mitments2-181Case:DonaldTroubadour?.?Troubadouridentifiesanarbitrageopportunityrelatingtoafixed--%.3-181Case:?-181Case:DonaldTroubadour??Position1(Nikkei225FuturesContract):%,andthecurrentstockindexlevelis16,%.??Position2(Euro/JGBForwardContract):Onemonthago,Troubadourpurchasedeuro/(quotedasapercentageofpar).Thecontractnotionalamountis¥100,000,-181Case:DonaldTroubadour??Position3(JPYIUSDCurrencyForwardContract):Troubadourholdsashortpositioninayen/USdollarforwardcontractwithanotionalvalueof$1,000,,theforwardratewas¥$¥$1,andtheannuallycompoundedrisk-freeratesare-%%-arbitrageprice.?TroubadournextconsidersanequityforwardcontractforTexasSteel,Inc.(TSI).-181Case:DonaldTroubadourExhibit2SelectedInformationforTSI??ThepricepershareofTSI’scommonshareis$-monthTSIequityforwardcontractis$.?pounding.?,"Underwhichscenariowouldourpositionexperiencealoss?“Threemonthsaftercontractinitiation,TroubadourgathersinformationonTSIandtherisk-freerate,-181Case:DonaldTroubadourExhibit3SelectedDataonTSIandtheRisk-FreeRate??ThepricepershareofTSI’scommonshareis$-%(poundingbasis).??TSIrecentlyannounceditsregularsemiannualdividendof$-181Case:DonaldTroubadour?pounding,thearbitrageprofitonthebondfuturescontractisclosestto:-181Case:DonaldTroubadour??Answer:BTheno-arbitragefuturespriceisequaltothefollowing:zF(T)=FV(T)[B(T+Y)+AI-PVCI]00,T000,TzF0(T)=(1+)(+-0)zF0(T)=(1+)()=:??zF(T)=CF(T)QF(T)00zF0(T)=()(125)=?(futurescontractexpiration)-=:/()=-181Case:DonaldTroubadour?Thecurrentno-arbitragefuturespriceoftheNikkei225futurescontract(Position1)isclosestto:,,,-181Case:DonaldTroubadour??Answer:BTheno-arbitragefuturespriceiszF(T)=Se(rc-γ)T00zF0(T)=16,080e()(3/12)=16,-181Case:DonaldTroubadour?ThevalueofPosition2isclosestto:A.-¥149,.-¥150,.-¥150,-181Case:DonaldTroubadour??Answer:AThevalueofTroubadour'seuro/JGBforwardpositioniscalculatedaszV(T)=PV[F(T)-F(T)]tt,Tt0zVt(T)=(-)/(1+)2/12=-(per¥100parvalue)??Therefore,thevalueoftheTroubadour'sforwardpositionisVt(T)=[-](¥100,000,000)=-¥149,92514-181Case:DonaldTroubadour?ThevalueofPosition3isclosestto:A.-¥40,.¥139,.¥239,-181Case:DonaldTroubadour??Answer:CThecurrentno-arbitragepriceoftheforwardcontractiszF(¥/$,T)=S(¥/$)FV¥,t,T(1)/FV$,t,T(1)ttzFt(¥/$,T)=¥(1-)/(1+)=¥??Therefore,thevalueofTroubadour'spositioninthe¥/$forwardcontract,onaperdollarbasis,iszV(T)=PV[F(¥/$,T)-F(¥/$,T)]=(-)/(1-)=t¥,t,T0t¥$1Troubadour'spositionisashortpositionof$1,000,000,sotheshortpositionhasapositivevalueof(¥/$)x$1,000,000¥239,-181Case:DonaldTroubadour?BasedonExhibit2,-181Case:DonaldTroubadour??Answer:AThecarryarbitragemodelpriceoftheforwardcontractiszFV(S)S(1+r)T=$250(1+)=$?ThemarketpriceoftheTSIforwardcontractis$-181Case:DonaldTroubadour?ThemostappropriateresponsetoTroubadour'ssupervisor'squestionregardingtheTSIforwardcontractis:'sshareprice,-freerate,,-181Case:DonaldTroubadour??Answer:BFromtheperspectiveofthelongposition,theforwardvalueisequaltothepresentvalueofthedifferenceinforwardprices:zV(T)=PV[F(T)-F(T)]tt,Tt09whereF(T)=FV(S+θ-γ).tt,Tttt?Allelseequal,anincreaseintherisk-freeratebeforecontractexpirationwouldcausetheforwardprice,F(T),,fromtheperspectiveoftheshort,,anincreaseintherisk--181Case:DonaldTroubadour?BasedonExhibits2and3,pounding,thepersharevalueofTroubadour'sshortpositionintheTSIforwardcontractthreemonthsaftercontractinitiationisclosestto:A.$.$.$-181Case:DonaldTroubadour??Answer:CTheno-arbitragepriceoftheforwardcontract,threemonthsaftercontractinitiation,(T)=,T(+-)(T)=[$245+0-$/(1+)(-)](1+)z(–)=$????Therefore,fromtheperspectiveofthelong,(T)=,T[(T)-F0(T)]=($-$)/(1+)-=-$,thevalueofhispositionisagainof$-181Case:SonalJohnson??'sbinationofswapsandforwardrateagreements(FRAs).Johnsonpricesathree-yearLibor-(years)-181Case:SonalJohnson?JohnsonalsousesthepresentvaluefactorsinExhibit1tovalueaninterestrateswapthatthebankenteredintooneyearagoasthereceive--%.Exhibit2SelectedDataonFixedforFloatingInterestRateSwapSwapnotionalamountOriginalswapterm$50,000,000Threeyears,withannualresetsFixedswaprate(sinceinitiation)%24-181Case:SonalJohnson?Oneofthebank'sinvestmentsisexposedtomovementsintheJapaneseyen,-yearfixed-for-fixedcurrencyswapinvolvingyenandUSdollars,%%%%%%%%80706025-181Case:SonalJohnson?Johnsonnextreviewsanequityswapwithanannualresetthatthebankenteredintosixmonthsagoasthereceive-fixed,pay-,whichislinkedtoanequityindex,,$20,000,000Fiveyears,%26-181Case:SonalJohnson?,andrelevantUSspotrates,alongwiththeirassociatedpresentvaluefactors,(years)%%%%%-181Case:SonalJohnson?Johnsonreviewsa6x9FRAthatthebankenteredinto90daysagoasthepay-fixed/receive-,,%FRAnotionalamountFRAsettlementtermsUS$20,000,000Advancedset,advancedsettle28-181Case:SonalJohnsonExhibit7CurrentLibor333333330-dayLibor0-dayLibor0-dayLibor0-dayLibor0-dayLibor0-dayLibor0-dayLibor0-%%%%%%%%29-181Case:SonalJohnson?Threemonthslater,the6x9FRAinExhibit6reachesexpiration,atwhichtimethethree-%andthesix-%.%.30-181