Pregunta 1.

2: Short Selling - Venta En corto

Defina que es un short Selling o Venta en Corto

A) Consiste en la venta de un activo que no se posee, esperando una

caída de su precio para luego recomprarlo a un menor valor y así
poder devolver el activo tomado en préstamo.

B) Consiste en tener el derecho, pero no la obligación, a vender el

activo subyacente al precio de ejercicio pactado al adquirirla Long Put
C) Consiste en tener el derecho, pero no la obligación, a comprar el
activo subyacente al precio de ejercicio pactado al adquirirla
Long Call
Long forward can be replicate with this positions:

Borrow @S0 at r%

Long asset @S0 with amount of loan

In T, value of portfolio is:

K= Amount of loan

Portfolio is a forward Synthetic with a price "K"

The general form for the calculation of the forward contract price can be stated as follows:

T 0.25
Risk free rate 6%
S0 500

FP 507.34

a=0
S0 500
VN 1000
rf 0.06
T 3meses 1año/4meses

FP= 507.34
ated as follows:
T 0.25
Risk free rate 6%
S0 500

FP 507.34

Today Three months from today

Spot price of bond $ 500.00
Forward price $ 510.00

Transaction Cash flow Transaction

Short forward $ - Settle short position by delivering bond
Borrow at 6% $ 500.00 Repay Loan
Buy bond $ -500.00
Total cash flow $ - Total cash flow

We will have earned an arbitrage profit of $ 510 - $ 507.34 = $

 7.34

m today
3) S0*(1+rf)^T 507.34
FP 510 FP>S0*(1+rf)^T
2.66
Cash flow
$ 510.00 Compra activo 510
- 507.34 Vende corto FWD -507.34
arbitraje (ahorro) 2.66
$ 2.66

ofit of $ 510 - $ 507.34 = $ 2.66

Hay arbitrje donde se compra el activo y
se vende en corto el FWD sobre el activo
T 0.25
Risk free rate 6%
S0 500

FP 507.34

Today
Spot price of bond $ 500.00
Forward price $ 502.00

Transaction Cash flow

long forward $ -
Short sell bond $ 500.00
Invest short-sale proceeds at 6% $ -500.00
Total cash flow $ -
 Three months from today
4) FP 502 FP<S0*(1+rf)^T
S0*(1+rf)^T 507.34

Transaction Cash flow Vende en corto el activo -502

Settle long position by buying bond $ -502.00 largo FWD 507.34
Deliver bond to close short position $ - Arbitraje 5.34
Receive investment proceeds $ 507.34
Total cash flow $ 5.34
P<S0*(1+rf)^T Hay arbitrje donde se vende en corto el activo y
se toma posición larga el FWD sobre el activo
Compra FWD
At the Beginning

Spot (t=0) 500

T= 0.25
rf anual 6%

Fwd 507.34

Vo -

Prior to expiration

Spot (t+1) 519 Spot (t+2) 515

T-t= 0.1667 (3-1)/12 T-t= 0.0833 (3-2)/12
rf anual 6% rf anual 6%
Vo (long) 519.00 Vo (long) 515.00
- 502.43 - 504.88
16.57 10.12
Expiration

Spot (t+3) 504

T-t= - (3-3)/12
rf anual 6%
Vo (long) 504.00
- 507.34
- 3.34 - 3.34
Spot 500
T= 3meses
(1+rf)^T= 507.34
FP(2meses) 515
rf= 0.06

V0=St-(FP/(1+rf)^(T-t))
V0= - 0.00
 At the Beginning

Spot (t=0) 30
T= 0.2740 100/365
rf anual 5%

Pago de dividendos: PVD

15 0.4 0.3992 0.3992
85 0.4 0.3954 0.3955
175 0.5 0.4882 - +100d
0.7947

Fwd 29.60

Vo -

Prior to expiration

Spot (t+60) 36
T-t= 0.1096 quedan 40d =(100-60)/360
rf anual 5%

Pago de dividendos: PVD

=85-60d= 25 0.4 0.399

0.399

Vo (long) 36.00
- 0.399
- 29.44
6.16
Known Income

Known Yield
The income is known when expressed as a percent of the asset’s price at the time the income is paid.

Expiration

Spot (t+100)
T-t=
rf anual

Pago de dividendos:

Vo (long)
 34
-
5%

dividendos: PVD
-

34.00
-
- 29.60
4.40 4.40
S0 1140
risk free 4.60%
Dividend yield 2.10%
T 0.3836 Spot 1140
Rf 0.046
divi 0.021
T 0.384
FP 1,150.98
fp 1150.98
8.1 Coupon rate 7%
Nominal 1000
Coupon 35
coupon payment in days 182
Risk free rate 6%
Spot 1,050.00
Contract 250

PVC 34.00

FP 1,057.37

8.2 Coupon 35
Remaining days 82
Risk free rate 6%

PVC 34.54
S100 1090

V100 23.10
Tasa cupon 35
Rf 0.06
T bono 0.49863014

P spot bono 1050

T fwd 0.68493151

Tasa cupon 35
rf 0.06
T bono 2 0.22465753

T fwd 0.4109589
P spot 1090
pvc 34.00 VN 1000
Bono 0.07

FP 1057.37118

pvc 34.54

FP 23.10