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chapter无文字金融工程专业.pptx

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?Forwardpricesrelationship?21、PRELIMINARIES⑴formanyofthecontractsthataretradedinthemarket,、PRELIMINARIES⑵notationWewillusealotofnotation,solet’sbeveryclearaboutwhateachsymbolmeans:T=maturitydateoftheforwardcontractt=currenttimeSt=priceofunderlyingattimetST=PriceofunderlyingattimeTK=deliverypriceintheforwardcontractFt=forwardpriceattimetf==riskfreerate41、PRELIMINARIES⑶.:T:Investmentperiod(years)PV:PresentValueofinitialinvestmentFV:FutureValueofinitialinvestmentR:poundedonceayearforTyears:Whatifinterestispaidmorefrequently?Hereareafewexamplesoftheformula:m=1m=4m=poundingfrequency(m)m=1m>1m→Futurevalueafternyears(FV)pounding7示例例:假设存款金额为100,名义年利率为10%,存款期限为1年,在年度计息的条件下,明年的期末存款余额为: 100×=110半年计息一次: 100××=: 100×=: 100×=:PV→FV:PV*eRT=FVFV→PV:FV*e-RT=PVForexample,ifyourdiscountrateis8%,andyouaregoingtoreceive$200in2years,thepresentvalueofthatcashflowis:,poundedrateofreturn?Youcansetthisupeasilyenoughbyrealizingthatifyouinvestinbothforagiventimeperiod(say1year),youwindupwiththesameamountofcash,thatis:

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