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Cooljas · 2022年10月12日

b问为啥说是现货比期货下降的慢呢？a问里同样的基差，却说是“现货价格上升速度比期货价格上升的快”

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000033

问题如下：

20 futures contracts are used to hedge an exposure to the price of soybeans. Each futures contract is on 5,000 bushels. At the time the hedge is closed out, the basis is 20 cents per bushel. What is the effect of the basis on the hedger if (a) the purchase of soybeans is being hedged and (b) the sale of soybeans is being hedged?

选项：

解释：

The basis increases the net price after hedging by 20 * 5,000 * USD 0.20 or USD 20,000. In (a) this is an extra cost to the hedger. In (b) it is an extra amount received from the sale of soybeans.



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pzqa27 · 2022年10月13日

嗨，从没放弃的小努力你好：


这是个相对的概念，现货价格相对期货价格下降的慢这个概念等价于现货价格相对期货价格上升的快，其本质结果是想说期货价格和现货价格发生了偏离，就比如我们俩比赛跑步，都往东跑，如果我跑的快一些，我可以说我相对您往东更快，也可以说我相对您往西更慢。这是一个道理


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