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Stefanie🍅 · 2021年04月15日

画图解答+这道题的e等于多少？

  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 short 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

老师，可以画图来解答下吗？ 然后答案里用的公式是讲义173页上那个 F=Se^rt公式吗？这个e具体数值是多少呢？
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Stefanie🍅 · 2021年04月16日

然后我想顺便问下李老师上课说的例题，讲义180页的example2，我听了好几遍，老师好像没说怎么求第一问a）forward price。他只说了上一个example1里FP已经求出来=52.5但是题目a）答案的forward price算出来是56*1.05^0.5=57.383。我听完就很晕不知道老师有没有算。请答题辅导员帮忙看看视频，到底是李老师没讲a）的算法还是他意思a）就是等于example1的52.5呢？谢谢🙏 视频是section10.3 valuing forward contracts

2 个答案
已采纳答案

袁园_品职助教 · 2021年04月16日

同学你好！

e是自然底数，数值大约是2.72，但是我们不需要知道这个，用计算器直接算e的几次方就可以了

52.5是example1的问题a

你可以再去听一下李老师是怎么画图的，这个方法还是很重要的，最好掌握住，遇到题目可以自己画图求解

Stefanie🍅 · 2021年04月19日

然后我想顺便问下李老师上课说的例题，讲义180页的example2，我听了好几遍，老师好像没说怎么求第一问a）forward price。他只说了上一个example1里FP已经求出来=52.5但是题目a）答案的forward price算出来是56*1.05^0.5=57.383。我听完就很晕不知道老师有没有算。请答题辅导员帮忙看看视频，到底是李老师没讲a）的算法还是他意思a）就是等于example1的52.5呢？谢谢🙏 视频是section10.3 valuing forward contracts

袁园_品职助教 · 2021年04月20日

同学你好！

老师讲了两种方法，一个是自己的画图法，一个是题目解析里的重新定价法

用画图法是不需要算57.383的，所以你感觉老师没有讲问题a)，直接可以算到b）的4.77

但是老师在讲重新定价法的时候是讲了a)的， 在2倍速12分左右，你如果听了还有问题可以继续提问

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