Forward contract value - Quant版

本页内容为未名空间相应帖子的节选和存档，一周内的贴子最多显示50字，超过一周显示500字访问原贴

Quant版 - Forward contract value

相关主题
● 求FinancialDataAnalyst:Moody's KMV面经
● 请教一个基本的算bond present value的问题
● help: information ratio
● 关于future和forward的一个问题
● one interview question
● One probability problem
● Murex interview questions
● [合集] Futures v.s. Forward
● [合集] Interview question 2
● [合集] 怎样在Bloomberg终端上找到某只股票的Option Impled Volatility

相关话题的讨论汇总
话题: value话题: forward话题: contract话题: present话题: year

进入Quant版参与讨论

(共1页)

p********0
发帖数: 186

Hi,
Assume 10 year bond paid annually price 950. Semi-annual coupon is 60
Know 0.5, 1 year yield rate,
What's the value of 1 year forward contract $970.
1) Present Value of $970 using 1 year rate.
2) PResent value of the remaining cash flow 950- 60*(discount(0.5)+discount(
1))
then 1 - 2 is the forward contract value.
Is this correct?

c******n
发帖数: 49

$970指的是delivery price?
如果是，我觉得应该是2-1

discount(

【在 p********0 的大作中提到】

: Hi,
: Assume 10 year bond paid annually price 950. Semi-annual coupon is 60
: Know 0.5, 1 year yield rate,
: What's the value of 1 year forward contract $970.
: 1) Present Value of $970 using 1 year rate.
: 2) PResent value of the remaining cash flow 950- 60*(discount(0.5)+discount(
: 1))
: then 1 - 2 is the forward contract value.
: Is this correct?

(共1页)

进入Quant版参与讨论

相关主题
● [合集] 怎样在Bloomberg终端上找到某只股票的Option Impled Volatility
● Efficient Methods for Valuing Interest Rate D
● 请问有人去开过ASSA这个会议吗？
● Index Fund build
● a questin about Markov Chain
● Spot rate question
● 怎么估计五次根号下31的value
● an interview question(finance)
● Discount factor question
● [合集] 再问一个futue 和forward的问题

相关话题的讨论汇总
话题: value话题: forward话题: contract话题: present话题: year

boards