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- 2011-7-11
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6#
发表于 2011-7-11 19:27
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FinNinja Wrote:
-------------------------------------------------------
> I tried this problem from a different perspective
> than usual in an attempt to 1. understand the
> material better, and 2. bring together two peices
> of the curriculum
>
> Obviously, I must be conecting dots that do not
> exist.
>
> The way I approached the problem was to find the
> value of a currency fwd contract and interpret
> that as the profit where:
>
> V = S/(1+rf) - F/(1+r)
>
> So if you short the fwd and buy the spot you end
> up with:
>
> 2.1/1.05 - 2/1.03 = .05825 * 1000 = 58.25
>
> Anyone know what went wrong here? I would think
> these formulas would be interchangeable somehow.
>
> I was thinking it might have something to do with
> the fact that I shorted the fwd whereas this is
> the value to the long investor (that's why I
> rearanged the equation above to show the higher
> fwd value less the lower spot)
your calculation is almost correct, which ccy is 1000 notional? becuse the rates are usd/cad the notional should be in cad, 1000usd devided by current spot is 500cad. the profit is then in usd and the calculation gives upfont (PV) profit using forward 500 notional cad therefore your profit is different to the others solution because they use more cash in t0.
so profit = 58.25 / 2= 29.125 realized in t0
Edited 2 time(s). Last edit at Wednesday, April 28, 2010 at 04:58PM by pfcfaataf. |
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