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海胆君 · 2021年03月04日

他要卖东西，担心价格下跌……怎么还long futures……？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000039

问题如下：

A farmer plans to sell 50,000 tons of soybeans in six months, he decides to purchase futures contracts to hedge against the price deline. The current price of soybeans is $ 508/ton, the contract size is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounded rate is 5%, what's the  price for the futures contract ?

选项：

A.

$35412.

B.

$76634.

C.

$50217.

D.

$52478.

解释：

D is correct.

考点：远期合约定价

解析：

FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78

x100 tons per contract = $52478

难道不是应该short position吗？ 不是担心价格下跌就签一个short吗

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品职答疑小助手雍 · 2021年03月04日

嗨，爱思考的PZer你好：


这个不用慌啦，我觉得这个purchase模棱两可，所以还是改了一下题目。改成short了。

frm出题人有时候确实会出出来随意的话（更何况本题中这句话还和考点没关系），还是把考点掌握了，肯定就能过，它就算真有出现歧义的题，也是极少数。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

品职答疑小助手雍 · 2021年03月04日

嗨，爱思考的PZer你好：


嗯嗯，虽然第一句话和题目考点其实没啥关系，不过确实说的不合逻辑，我反馈下~

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加油吧，让我们一起遇见更好的自己！

海胆君 · 2021年03月04日

还是说，他这里的purchase只是enter into的意思？purchase不能代表long postion？英语太难理解语义了 求老师帮忙问问

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