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SkipperLin · 2020年03月20日

问一道题:NO.PZ2020012001000040

问题如下:

On January 15 of Year 1, a company decides to hedge the purchase of 100,000 bushels of corn on February 15 of Year 2. The following table gives futures prices (cents per bushel) of three selected contracts on four different dates. Explain how the company can use the contracts to create the required hedge. What is the net (after hedging) price paid for the corn as a function of the spot price on Febru-ary 15 of Year 2? Each corn contract is on 5,000 bushels.

选项:

解释:

The company should short 20 May contracts on January 15 of Year 1 and close them out by buying 20 May contracts on April 15 of Year 1. It should short 20 September contracts on April 15 of Year 1 and close them out by buying 20 September contracts on August 15 of Year 1. It should short 20 March contracts on August 15 of Year 1 and close them out on February 15 of Year 2. The gain on the short positions in cents per bushel is

(300 - 320) + (330 - 320) + (325 - 300) = 15

The price paid is therefore S - 15 cents per bushel, where S is the spot price on February 15 of Year 2. In total, the cost in USD is 1,000(S-15).

请问这个题是hedge the purchase 那我是担心价格变高 我的hedge应该是long 而不是答案给的short呀

1 个答案
已采纳答案

袁园_品职助教 · 2020年03月20日

同学你好!

是的,这道题确实有点问题,可以按照李老师上课讲解的例题去理解,我们尽快修改一下题目,谢谢!

 

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NO.PZ2020012001000040问题如下 On January 15 of Ye1, a company cis to hee the sell of 100,000 bushels of corn on February 15 of Ye2. The following table gives futures prices (cents per bushel) of three selectecontracts on four fferent tes. Explain how the company cuse the contracts to create the requirehee. Whis the net (after heing) prireceivefor the corn a function of the spot prion Febru-ary 15 of Ye2? Eacorn contrais on 5,000 bushels. The company shoulshort 20 Mcontracts on January 15 of Ye1 anclose them out buying 20 Mcontracts on April 15 of Ye1. It shoulshort 20 September contracts on April 15 of Ye1 anclose them out buying 20 September contracts on August 15 of Ye1. It shoulshort 20 Marcontracts on August 15 of Ye1 anclose them out on February 15 of Ye2. The gain on the short positions in cents per bushel is (300 - 320) + (330 - 320) + (325 - 300) = 15 The prireceiveis therefore S + 15 cents per bushel, where S is the spot prion February 15 of Ye2. 老师,您说这个同学的红线话从总收益的角度是正确的,但是我不太明白,最后short futures平仓,期货头寸变成0了,总共赚了15,一开始未来就是计划sell spot ,所以卖出货物收到市场价格S,总收益应该是S+15啊?

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