CFA论坛 - Powered by Discuz! Board

标题: CFAI text V5 R41: Multiplier for futures [打印本页]

作者: pimpineasy 时间: 2011-7-11 15:17 标题: CFAI text V5 R41: Multiplier for futures

On P356, q is defined as "multiplier" with the unit of $ and the multipliers of the future contracts in elsewhere in this reading are always with the of $.

Since I think that the futures prices are with the units of $ (as f on P356 and elsewhere in this reading) and this shall be a common sense, then why "multiplier" can be with the unit of $ ?

作者: nannan66 时间: 2011-7-11 15:17

You're right AMC, did you check the errata?

作者: strikethree 时间: 2011-7-11 15:18

This is from last year's discussion. So I don't think CFAI will correct it any time soon. It may have been there since the index futures were invented. For example, S&

500 Futures' Contract Size: $250 x S&

500 futures price.

For index futures, the future price is just a level and has no unit. The multiplier in $ is usually fine, but it does cause problem when we calculate the number of [synthetic] units of stock.

For example, on page 361[Vol5].

"The number of units of stocks is

-Nf*q/(1+delta)^T=339($100)/(1.0075)^(2/12)=33,857.81"

The $ is "magically" converted to a unit of stocks.

Edited 1 time(s). Last edit at Friday, April 1, 2011 at 08:10PM by deriv108.

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)