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大吉0511 · 2023年06月11日

请老师讲一下这一道题,谢谢!

* 问题详情,请 查看题干

NO.PZ202212300200004802

问题如下:

Which of Whitacre’s two statements regarding bond futures arbitrage is correct?

选项:

A.

Only Statement 4

B.

Only Statement 5

C.

Both Statement 4 and Statement 5

解释:

Correct Answer: A

If the basis is positive, a trader would make a profit by “selling the basis”—that is, selling the bond and buying the futures. In contrast, when the basis is negative, the trader would make a profit by “buying the basis,” in which the trader would purchase the bond and short the futures.

B is incorrect because Statement 5 is incorrect. If the basis is negative, a trader would make a profit by “buying the basis”—that is, purchasing (not selling) the bond and shorting (not buying) the futures.

C is incorrect because Statement 5 is incorrect. If the basis is negative, a trader would make a profit by “buying the basis”—that is, purchasing (not selling) the bond and shorting (not buying) the futures.

请老师讲一下这一道题,谢谢!

1 个答案
已采纳答案

pzqa31 · 2023年06月12日

嗨,从没放弃的小努力你好:


基差basis=现货-期货

1.     当basis为正数,即现货价格高于期货,所以应该卖出现货债券,买进债券期货。

而这里的sell the basis是跟着现货头寸来定义的,在上面我们是卖出现货,所以叫做sell the basis。

2.同理当basis小于0 的时候,说明债券现货低于至安全期货价格,所以应该买现货,对应的就叫做buy the basis。

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