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Kathy苏苏 · 2023年02月03日

S+15

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000040

问题如下：

On January 15 of Year 1, a company decides to hedge the sell of 100,000 bushels of corn on February 15 of Year 2. The following table gives futures prices (cents per bushel) of three selected contracts on four different dates. Explain how the company can use the contracts to create the required hedge. What is the net (after hedging) price paid for the corn as a function of the spot price on Febru-ary 15 of Year 2? Each corn contract is on 5,000 bushels.

选项：

解释：

The company should short 20 May contracts on January 15 of Year 1 and close them out by buying 20 May contracts on April 15 of Year 1. It should short 20 September contracts on April 15 of Year 1 and close them out by buying 20 September contracts on August 15 of Year 1. It should short 20 March contracts on August 15 of Year 1 and close them out on February 15 of Year 2. The gain on the short positions in cents per bushel is

(300 - 320) + (330 - 320) + (325 - 300) = 15

The price paid is therefore S + 15 cents per bushel, where S is the spot price on February 15 of Year 2.

net (after hedging) price paid为什么是S+15，而不是S-15？

担心价格下降，所以short futures,最后期货赚了15。到期后，买现货支付S,net (after hedging) price paid不是s-15吗？谢谢老师解答。

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2 个答案

DD仔_品职助教 · 2023年02月06日

嗨，爱思考的PZer你好：


玉米的报价都是cents per bushel，所以S和这15的单位都是cents per bushel，题目直接默认大家都知道玉米的报价是cents per bushel，所以就没有再强调。


答案里写的净收入：

The gain on the short positions in cents per bushel is

(300 - 320) + (330 - 320) + (325 - 300) = 15

The price paid is therefore S + 15 cents per bushel, where S is the spot price on February 15 of Year 2.

如果换成总收入，就是你写的那个算法，因为是简答题，所以写哪个都对。


是的没有用。

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加油吧，让我们一起遇见更好的自己！

DD仔_品职助教 · 2023年02月03日

嗨，努力学习的PZer你好：


同学你好，

这个题答案有点问题，不应该是paid，应该改为receive，和基础讲义157页的例题是一样的

他卖玉米，收到钱，担心玉米价格下降，就签订short futures，以约定好的价格未来卖出基础资产，基础资产现货价格上升，高于约定好的价格有loss，下降有gain。

我们已经计算出short的一方会有15的gain，那么公司卖玉米，会收到S，同时还有15的gain，所以他的净收入是S+15。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Kathy苏苏 · 2023年02月06日

老师，15是 futures prices (cents per bushel)的 gain，S是per bushel的价格吧（题目好像没说清)，最终净收入应该是（S+15)x100，000吧？ 计算出的short 20 May contracts，这个20实际上没有用上是吧？

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