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%.
0.91%.
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?