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Lich · 2024年10月10日

如题

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000033

问题如下：

20 futures contracts are used to hedge an exposure to the price of soybeans. Each futures contract is on 5,000 bushels. At the time the hedge is closed out, the basis is 20 cents per bushel. What is the effect of the basis on the hedger if (a) the purchase of soybeans is being hedged and (b) the sale of soybeans is being hedged?

选项：

解释：

The basis increases the net price after hedging by 20 * 5,000 * USD 0.20 or USD 20,000. In (a) this is an extra cost to the hedger. In (b) it is an extra amount received from the sale of soybeans.

请问老师可以理解为，作为long方roll yield是正的，short方roll yield是负的么？

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1 个答案

李坏_品职助教 · 2024年10月11日

嗨，努力学习的PZer你好：


不能这么判断。


所谓的roll yield指的就是随着时间推移带来的收益。

如果是我们作为futures的多头，一开始期货价格小于现货价格，那么随着到期日的临近，期货价格逐渐会逼近现货，这样的话期货多头的roll yield为正。 反过来，如果是期货价格一开始大于现货价格，那么roll yield为负。


如果是我们作为futures的空头，情况恰好反过来。一开始期货价格小于现货价格，我们作为期货空头，roll yield是负数。

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Lich · 2024年10月11日

roll yield和本题感觉正好相反，没理解这个问法的区别求教老师

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