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magickame · 2021年11月22日

我只想问一句答案里面为什么Storage fee 1.5%为什么不是减而是加

  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

Fee和Dividends不是按照公式都要减去的吗？

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1 个答案

品职答疑小助手雍 · 2021年11月23日

同学你好，storage cost是要加在远期或者期货的价值里的，中间获得的收益或者convenience yield是要减去的。公式也是如此。

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