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· 2022年02月01日

还是不太明白cost of assest

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000033

问题如下：

20 futures contracts are used to hedge an exposure to the price of soybeans. Each futures contract is on 5,000 bushels. At the time the hedge is closed out, the basis is 20 cents per bushel. What is the effect of the basis on the hedger if (a) the purchase of soybeans is being hedged and (b) the sale of soybeans is being hedged?

选项：

解释：

The basis increases the net price after hedging by 20 * 5,000 * USD 0.20 or USD 20,000. In (a) this is an extra cost to the hedger. In (b) it is an extra amount received from the sale of soybeans.

就a而言，未来是要purchase大豆，所以要防止价格上涨，所以是long futures

那根据老师上课说的的cost of asset：

long future，说明是short spot，所以计算cost of asset=-fp0-basis risk

所以此时basis risk增加应该是cost of asset减少（减去一个更大的数字），应该是额外的收益？


然后我的推论就跟答案完全相反了，求解答，感谢！

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2 个答案

DD仔_品职助教 · 2022年03月11日

嗨，努力学习的PZer你好：


我们换一种解释方式：

a说的是要买大豆，担心大豆价格上升，就签一个价格真的上升了对我有好处的合约，就是long futures。

我买大豆，long futures，大豆价格涨1块，买大豆亏一块，long futures赚一块，两个刚好完美对冲。

但是现在有基差风险=20cents也就是spot price-futures price=20cents，现货价格上升速度比期货价格上升的快。

大豆现货价格涨1块，我买大豆亏1块，futures价格低于1块，价格是8毛，我long futures赚8毛。那就不是完美对冲了，这个头寸因为存在20cent的基差风险导致我净亏2毛。所以是cost。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

DD仔_品职助教 · 2022年02月01日

嗨，努力学习的PZer你好：


同学你好，

long futures是0时刻的头寸，到期时刻的头寸就变成了short futures收到卖futures的钱，long spot付出去买现货的钱，那么收益就是=fp-sp，基差风险增大，表示=sp-fp>0，所以是cost of asset。

同学你的问题是把头寸的公式当成了收益的公式，所以推出来相反的结论，头寸的long是现金流的减号。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

he123456 · 2022年03月10日

还是不太明白为什么到期就要变成short futures了？0时刻long futures就意味着在到期时要支付fp啊，即-FP

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