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nanaluo · 2021年10月07日

请问基础课含仓储成本的画图大法推导在哪里

  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

请问基础课含仓储成本的画图大法推导在哪里

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3 个答案

品职答疑小助手雍 · 2021年10月24日

同学你好，本来就是C-Y啊，期货价格其实就是把你货物的机会成本加上再把能获得的收益减掉得来的。

品职答疑小助手雍 · 2021年10月07日

嗨，爱思考的PZer你好：


同学你好，这个后面一章是cost of carry，其实道理都是一样的，持有的成本（利率和storage cost等）都要算在cost里，计入期货的价格。

而获得的yield要在价格里减去（拓展，本题不涉及）。

合起来其实就是讲义210页的公式。storage cost在C里面累加即可。

----------------------------------------------
努力的时光都是限量版，加油！

品职答疑小助手雍 · 2021年10月07日

同学你好，视频位置如截图

nanaluo · 2021年10月07日

视频中给出的是金额形式的storage cost的离散处理方式，可以请教下费率形式的storage cost的连续处理方式及图形吗？

Jessie999 · 2021年10月24日

老师请教一下为什么不是c-y而是c+y呀

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