开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Kathy苏苏 · 2023年02月03日

题目和答案没看明白，麻烦老师详细讲解下。

  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.

题目和答案没看明白，麻烦老师详细讲解下。

添加评论
1 个答案

品职答疑小助手雍 · 2023年02月03日

同学你好，题目的意思是投资者用20份大豆期货的头寸来hedge了自己的现货头寸，每一份大豆期货是有5000蒲式耳。在对冲结束的时候，存在了基差，即basis=SP-FP大于0，然后问基差对于未来用买大豆和未来要卖大豆时分别有什么影响。

从回答来看，可以忽略计算。

就a小问而言：说未来要买大豆，为了防止价格的上涨，所以选择的是long futures。

到期结算的时候相当于卖FP，买入SP，basis>0的时候，在结算的时候就是个亏损，所以是是cost for the long position。


就b小问而言，就是跟a 相反的，所以是额外的收益。

  • 1

    回答

  • 1

    关注

  • 366

    浏览
相关问题

NO.PZ2020012001000033 问题如下 20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being hee The basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 结合这道例题，请问在实操中，如果我想买大豆，如果价格涨上去了，我可以等到futures到期了交割啊，不用买现货？如果是想在futures到期前买入大豆，那可以一开始选择一个符合预期的futures？

2024-10-24 09:27 2 · 回答

NO.PZ2020012001000033 问题如下 20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being hee The basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 请教老师，这个题s大于f，basis是正的，long方roll yiel正，short方roll yiel负，和答案的理解相反，不知道错在哪里？

2024-10-10 15:56 3 · 回答

NO.PZ2020012001000033 问题如下 20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being hee The basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 请问老师可以理解为，作为long方roll yiel正的，short方roll yiel负的么？

2024-10-10 15:17 1 · 回答

NO.PZ2020012001000033问题如下20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being heeThe basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 那我是不是可以理解为，我long的期货是实现对冲了，只是没有完美对冲……然后在我结束这个long contract的时候，其实是要做一个short期货平仓，于是就是你们的，我按照现在的市场价格short一个80美分的期货，然后才能平我这个1美元买入的期货？？

2024-09-25 10:25 1 · 回答

NO.PZ2020012001000033问题如下20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being heeThe basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 老师，我真的不太懂这个逻辑，就是我未来要买大豆，担心价格上涨，好……我long一个期货，这里我知道，然后说basis risk是20，正数，所以是我的现货价格涨幅要快过期货涨幅，那我应该是对冲风险对了呀，为什么我反而增加了成本？？我总觉得我哪里的逻辑不对

2024-09-24 19:59 1 · 回答