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上小学 · 2023年03月01日

请问这个题目计算过程？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000039

问题如下：

A farmer plans to sell 50,000 tons of soybeans in six months, he decides to short futures contracts to hedge against the price deline. The current price of soybeans is $ 508/ton, the contract size is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounded rate is 5%, what's the price for the futures contract ?

选项：

A.

$35412.

B.

$76634.

C.

$50217.

D.

$52478.

解释：

D is correct.

考点：远期合约定价

解析：

FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78

x100 tons per contract = $52478

这个题目按照公式计算差别很大，完全没边，请问特殊点在哪里？谢谢


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1 个答案

pzqa27 · 2023年03月01日

嗨，从没放弃的小努力你好：


我算了下，根据解析提供的公式来算结果没问题，具体的过程就是解析写的那个算法

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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