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WINWIN8 · 2022年08月22日

关于collateral return计算

* 问题详情,请 查看题干

NO.PZ201720190200000107

问题如下:

7.The Apex Fund’s three-month total return on the soybean futures trade is closest to:

选项:

A.

0.85%.

B.

1.30%.

C.

2.22%.

解释:

A is correct.

The total return on the trade represents the sum of three components: price return, roll return, and collateral return.

Price return = (Current price - Previous price)/Previous price = (877.0 - 865.0)/865.0 = 1.387%.

Roll return = [(Near-term futures contract closing price - Farther-term futures contract closing price)/Near-term futures contract closing price] x Percentage of the position in the futures contract being rolled.

Because the entire position is being rolled, the percentage of the position in the futures contract being rolled is equal to 100%. So:

Roll return = [(877.0 - 883.0)/877.0] x 100% = -0.684%.

Collateral return = [3 months/12 months] x 0.60% = 0.15%.

Total return = 1.387% - 0.684% + 0.15% = 0.853%.

考点:大宗商品收益计算

解析:Total return由三部分构成,现货收益,滚动收益和抵押收益,分别计算这三部分然后加和即可。

现货收益=(当前价格-以前价格)/以前价格,从题目中找到对应数据现价为877,之前的价格为865,那么现货收益=(877-865)/865=1.387%

滚动收益=(近期合约价格-远期合约价格)/近期合约价格,对应题目数据,近期合约价格为877,远期合约价格为883,那么滚动收益 =(877-883)/877=-0.684%

抵押收益,合约期总共3个月,那么抵押收益为(3/12)*0.6%=0.15%

总收益=现货收益+滚动收益+抵押收益 = 1.387% - 0.684% + 0.15%=0.853%

请问为什么collateral retuan只是3个月呢? 第一份合约现货收益已经有三个月了,后来roll合约又是三个月,总六个月才对吧

1 个答案

Lucky_品职助教 · 2022年08月24日

嗨,努力学习的PZer你好:


题干问的是The Apex Fund’s three-month total return ,只问了3个月哦

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努力的时光都是限量版,加油!

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NO.PZ201720190200000107问题如下7.The Apex Funs three-month totreturn on the soybefutures tra is closest to:A.0.85%.B.1.30%.C.2.22%.A is correct. The totreturn on the tra represents the sum of three components: prireturn, roll return, ancollaterreturn.Prireturn = (Current pri- Previous price)/Previous pri= (877.0 - 865.0)/865.0 = 1.387%.Roll return = [(Near-term futures contraclosing pri- Farther-term futures contraclosing price)/Near-term futures contraclosing price] x Percentage of the position in the futures contrabeing rolleBecause the entire position is being rolle the percentage of the position in the futures contrabeing rolleis equto 100%. So:Roll return = [(877.0 - 883.0)/877.0] x 100% = -0.684%.Collaterreturn = [3 months/12 months] x 0.60% = 0.15%.Totreturn = 1.387% - 0.684% + 0.15% = 0.853%.考点大宗商品收益计算解析Totreturn由三部分构成,现货收益,滚动收益和抵押收益,分别计算这三部分然后加和即可。现货收益=(当前价格-以前价格)/以前价格,从题目中找到对应数据现价为877,之前的价格为865,那么现货收益=(877-865)/865=1.387%滚动收益=(近期合约价格-远期合约价格)/近期合约价格,对应题目数据,近期合约价格为877,远期合约价格为883,那么滚动收益 =(877-883)/877=-0.684%抵押收益,合约期总共3个月,那么抵押收益为(3/12)*0.6%=0.15%总收益=现货收益+滚动收益+抵押收益 = 1.387% - 0.684% + 0.15%=0.853%为什么roll return 分母用neterm 87 而不是fartherterm 883?我知道公式是这么写的要用neterm,但是没有理解到这个使用的含义,因为我觉得farther term才是买入的成本。

2023-05-21 00:56 1 · 回答