求问一道远期汇率合同和期货的定价问题

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Answer all parts of this question
(a) Suppose you, as a UK based investor, have an obligation to repay $150 million in nine months time. The current exchange rate is $1.71= £1. UK interest rates are currently quoted at 3% for 6 months and 4% for 9 month loans. The corresponding US rates are 7% and 5%.
(i) What is the appropriate forward rate for your 9-month exposure?

用公式算1.71*（1+5%）/(1+4%)= 1.726=1.73
(ii) Discuss whether the 9-month futures price will differ from the forward rate calculated in i)

futures price 和远期的有什么区别呢

(iii) Based on current values, at what price would you expect forward contracts for delivery after 3 months to be trading in six months time?
这个问是不是只是把利率改成六个月的，算法同第一问呢

Suppose you had bought the forward contract for nine months and, after 6, realised that you no longer needed the contract.
Discuss how you would use a futures contract to eliminate the exposure and the economic and cash flow consequences of this
decision

这个问完全没用思路，不知道该怎么算？
谢谢 望各位指教

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：远期汇率 Consequences appropriate Obligation Sequences 期货 定价 汇率 远期 合同

i,  your day count convention is wrong
ii. futures bear no counterparty risk, etc.
iii.no. you are supposed to calculate the forward rate
iv. sell 3-month dollar futures

2# phill
谢谢解答。day count convension错了，是说我用的利率错了吗？ 不是用9个月的loan 利率来算吗？那应该采用的利率是多少？
（ii）我知道futures 是standardised的，然后有 clearing house， 价格是每天要revalued，no conterparty risk，但这些会对futures price 产生什么影响呢？ 是比forward price 高 还是低呢 为什么
（iii）（iv）可不可以麻烦写下具体的计算过程

实在不好意思，麻烦你了，我真的不太明白，谢谢了

关于（ii），我又查了些资料，当标的资产价格与利率成正比时，期货价格高于远期合约价格。
恩，这里汇率是标的资产，与利率关系很复杂，但好像是成正比的，则期货价格高于远期的。
同时由于税收，交易费用，保证金，违约风险，流动性等因素，会导致期货价格与远期合约价格不同

check this for reference: http://www.ruf.rice.edu/~watanab ... orwards_Futures.pdf