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학습질의응답홈>국제자격증>FRM>게시판>학습질의응답
| 제목 | 김종곤 강사님 FRM part 1 Determination of Forward and Future Prices | 등록일 | 2017-07-27 |
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안녕하세요. 김중곤 강사님. 강사님의 강의 항상 감사하게 생각하고 있습니다. 아래 문제와 해설에서 storage cost 계산하는 방법에 대해 질문이 있습니다. 아래 문제에 관한 해설에서 storage cost 구하는 항등식, 0.06+(0.06e^-001*0.25)+(0.06e^0.01*0.5)=0.17955에 관한 질문 입니다. 이 항등식에서 present value를 하지 않은 0.06이 어떤 의미인지 이해가 되지 않습니다. 그리고 왜 마지막 9개월째 되는 storate cost는 0.06에 PV를 해서 구하지 않았는지 이해가 되지 않습니다. 설명해 주시면 감사하겠습니다. 항상 감사드립니다. You are trading silver and want to physically own the bullion instead of holding an ETF on the value of silver. The storage costs of precious metals can be significant and you need to include them in what you expect the futures prices to be. The spot price of silver is $20 per ounce and storage costs are 24 cents per ounce per year payable quarterly. Assume interest rates are 1%; what should the futures price of silver be for delivery in 9 months? 35.37 25.37 25.20 35.20 (해설) The storage costs questions can be tricky because they require multiple periods of present value costs. The way to tackle this is to first get your time frame straight. You are given storage costs in cents per year but you are asked about a 9?month time horizon. Convert 24 cents per year into monthly costs and that's 2 cents per month. We know we have to pay this quarterly, so we are going to have three payments of 6 cents (3 months × 2 cents). Then the present value of 6 cents 3 months into the future and 6 months into the future for our total of 9 months: 0.06+(0.06e^-001*0.25)+(0.06e^0.01*0.5)=0.17955 So we have our 6 cents for this quarter and the present value (notice the negative exponent) for two other payments. Now we need to include this present value of storage costs in our expected future price. Now you might think that since this is a cost, we reduce it from our basic formula: F 0 =S 0 e rT F0=S0erT But think of storage costs as something you have to pay that you want compensation for by anyone who buys something from you in the future. Our formula becomes: F 0 =25+.17955e .01×.75 =25.369 per ounce |
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