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Diana · 2024年05月04日

collateral return为什么对于long还是short都是正的?

NO.PZ2024020101000026

问题如下:

Acaray holds a short position in silver futures and when the position is five days from expiration, it is rolled over to the next month‘s contract. Acaray treats the position as fully collateralized with dedicated funds held in short-term government bonds currently earning 0.30% per year on a 360-day basis. Most recently, a position that was entered at $23.865 was closed at $23.720 and rolled into a new contract at $23.785. For the most recent month, the total return of the silver futures position is closest to:

选项:

A.

–0.86%.

B.

0.91%.

C.

1.19%

解释:

B is correct because, for a long position, the total return consists of the price return (current price – previous price)/previous price plus the roll return (near-term contract price – farther-term contract price)/near-term price plus the collateral return. For a short position, it is the negative of the first two terms.

So in this case, the total return = –(23.720 – 23.865)/23.865 –(23.720 – 23.785)/23.720 + 0.0030/12 = 0.00608 + 0.00274 + 0.00025 = 0.0091 = 0.91%.

本题的特殊点在于short 方在total return计算中,price return和roll return都需要加上负号,与long方相反,但是collateral return仍然是正的,因为存的保证金收益不管是long还是short都是正的,所以最终的计算就是–(23.720 – 23.865)/23.865 –(23.720 – 23.785)/23.720 + 0.0030/12 = 0.00608 + 0.00274 + 0.00025 = 0.0091 = 0.91%.

collateral return为什么对于long还是short都是正的?

1 个答案

pzqa35 · 2024年05月06日

嗨,从没放弃的小努力你好:


collateral return是我们保证金的一个收入,我们进入到futures的市场中,不管是long方还是short 方都需要缴纳一定的保证金才可以进行操作,那么这个保证金带来的收益,都是属于付出保证金的那个人的。所以虽然是short 方,但是保证金还是要从他的账户中缴纳,那么这部分的收益也是归他的哈。

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