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花儿。 · 2023年05月09日

price高是因为成本高，所以标价高，是吗？

  1. CFA I
  2. Derivative

NO.PZ2018062007000023

问题如下：

The underlying prices of Product X and Product Y are both $10. Product X has no storage cost and convenience yield, while Product Y has a higher future value of storage cost than its convenience yield. Compared to the forward price of Product X:

选项：

A.

The forward price of Product Y is smaller

B.

The forward price of Product Y is equal

C.

The forward price of Product Y is larger

解释：

C is correct.

The forward price is the spot price compounded at the risk-free rate over the life of the contract minus the future value of those benefits plus the future value of costs. Product Y has a higher future value of storage cost (costs) than its convenience yield (benefits), therefore the forward price of Product Y is larger than X.

对于forward合约来说，标的资产在期间的cost不会真正扣掉，所以要加回，cost带给forward price的影响是正向的；相反，在期间的benefit不会享受到，所以要扣除，benefit带给forward price的影响是负向的。题目中说Y的cost>benefit，所以总体来说给Y带来的正向影响更大，Y的forward合约价格也就更大，选C。

如果X和Y的price一样高的话，那X的value应该要大于Y，理解对吗。

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1 个答案

Lucky_品职助教 · 2023年05月11日

嗨，爱思考的PZer你好：


如果两个商品的价格相同，那么在没有存储成本和方便收益的情况下，它们的forward价格应该是相等的，后续的估值应该也是相等的。

这道题中指出了商品Y的未来存储成本比方便收益更高，因此它的存储成本更多，这将导致Y的forward价格高于X的forward价格。

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NO.PZ2018062007000023问题如下The unrlying prices of ProX anProY are both $10. ProX hno storage cost anconvenienyiel while ProY ha higher future value of storage cost thits convenienyiel Compareto the forwarpriof ProX:A.The forwarpriof ProY is smallerB.The forwarpriof ProY is equalC.The forwarpriof ProY is larger C is correct.The forwarpriis the spot pricompounthe risk-free rate over the life of the contraminus the future value of those benefits plus the future value of costs. ProY ha higher future value of storage cost (costs) thits convenienyiel(benefits), therefore the forwarpriof ProY is larger thX.对于forwar约来说，标的资产在期间的cost不会真正扣掉，所以要加回，cost带给forwarprice的影响是正向的；相反，在期间的benefit不会享受到，所以要扣除，benefit带给forwarprice的影响是负向的。题目中说Y的cost benefit，所以总体来说给Y带来的正向影响更大，Y的forwar约价格也就更大，选cost大于benefit，倾向于持有远期，cost 小于benefit， 倾向于持有现货

2024-05-07 11:23 2 · 回答

NO.PZ2018062007000023问题如下The unrlying prices of ProX anProY are both $10. ProX hno storage cost anconvenienyiel while ProY ha higher future value of storage cost thits convenienyiel Compareto the forwarpriof ProX:A.The forwarpriof ProY is smallerB.The forwarpriof ProY is equalC.The forwarpriof ProY is larger C is correct.The forwarpriis the spot pricompounthe risk-free rate over the life of the contraminus the future value of those benefits plus the future value of costs. ProY ha higher future value of storage cost (costs) thits convenienyiel(benefits), therefore the forwarpriof ProY is larger thX.对于forwar约来说，标的资产在期间的cost不会真正扣掉，所以要加回，cost带给forwarprice的影响是正向的；相反，在期间的benefit不会享受到，所以要扣除，benefit带给forwarprice的影响是负向的。题目中说Y的cost benefit，所以总体来说给Y带来的正向影响更大，Y的forwar约价格也就更大，选Y目前有很高的storage cost，说明目前他的成本高，所以目前的买价就低，远期价就高，而X没有成本，当前价就高

2023-04-05 17:39 1 · 回答

老师，请问Y的存储成本更高、交易便利更地，它的远期价格是不是应该更低一点呢？

2019-12-03 11:37 1 · 回答