为啥long forward+stock=-bond？

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做题时遇到的，但是不理解。。。-bond应该就是sale of a zero coupon bond...

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关键词：forward Stock long tock stoc

是不是short stock??

suzhouquan 发表于 2012-4-10 21:56
是不是short stock??

题目是这样的：
The S&R index has a spot price of S0 = 1300 . The continuous interest rate is
r = .03and the continuous dividend yield is δ = 0 The one year forward
price is 1339.59. You enter into a forward sale contract and buy the index.
Which of the following positions is this equivalent to:

答案是Sale of a one year zero-coupon bond with r = .03

我不理解这是怎么组合的。。。

suzhouquan 发表于 2012-4-10 21:56
是不是short stock??

啊啊啊，回复不了您啊。。。说回复要审核。。。汗啊。。。说的是entery一个forward sale合同，buy index，等价于什么？答案是sale 一个bond。。。我不理解是怎么回事啊。。。

suzhouquan 发表于 2012-4-10 21:56
是不是short stock??

啊啊啊，回复不了您啊。。。说回复要审核。。。悲剧。。。对不起。。。

breezeintopl 发表于 2012-4-10 22:08
题目是这样的：
The S&R index has a spot price of S0 = 1300 . The continuous interest rate is
r = ...

画个年末的收益图就很明了了。但是我感觉应该是Buy one year zero_cupon bond 啊

you borrow money to buy index at time=0, but you should sell stock in the future. selling bond means you borrow money, and buying bond means you lend money...so the answer is selling the bond.. Good luck...

in your question, you buy stock at time 0, so you need borow money and should sell at time t, for selling the stock you into short forward....short forward=stock+bond ; short foward=-long forward...+bond means you purchase the bond...

breezeintopl 发表于 2012-4-10 22:10
啊啊啊，回复不了您啊。。。说回复要审核。。。悲剧。。。对不起。。。

请问回复审核是什么意思？

mashimaro0425 发表于 2012-4-13 01:35
请问回复审核是什么意思？

不知道怎么回事额。。就是我回复完帖子不能直接发出来，说要审核才能通过。。。