问题如下:
An analyst thinks that the price of A crude oil will increase more than that of B crude oil. Based on this, which position should the analyst take?
选项:
A.a basis swap long on A crude oil and short on B crude oil
B.a basis swap long on B crude oil and short on A crude oil
C.a short position in an excess return swap that is based on a fixed level of the commodity Index.
解释:
A is correct.
basis swap基于两种类似商品的价格变动,分析师预测A原油的价格增长会高于B原油的价格增长,所以应该是Long A, short B. 同时,题目并没有给出与index的相对变化,所以不能用excess return swap,而是要用basis swap。
请问一下,the price of A crude oil will increase more than that of B crude oil.意思是相对而言A的FP要看涨吗,那么A的Basis=SP-FP要看跌啊?为什么还要Long啊?