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比如世界 · 2020年05月05日

问一道题:NO.PZ2020020601000034

问题如下:

X, Y, and Z have entered into many derivative transactions. When transactions between X and Y are netted, the net value to X is 60. When transactions between Y and Z are netted, the net value to Y is 70. When transactions between Z and X are netted, the net value to Z is 80. Suppose that all transactions are cleared through a CCP rather than bilaterally. What is the net position of X, Y, and Z?

选项:

解释:

When they are cleared centrally, they net to -20 for X, +10 to Y, and +10 to Z.

老师您好,请问下“When transactions between X and Y are netted, the net value to X is 60. ”这句话里, 不是很理解to的含义,the net value to X is 60代表的是x是多头,long了60份吗 ?-10是代表net之后的头寸为空头,x总共是short了10份吗?

1 个答案
已采纳答案

小刘_品职助教 · 2020年05月06日

同学你好,

你前半段理解对的哈,X总共是short了20~

具体可以这么理解,X向Y买了60,Y向Z向买了70,Z向X买了80,如果引入了CCP,可以理解成X买了60,又卖出了80,所以就是short了20