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Kathy苏苏 · 2023年02月03日

at a specified date in the middle of the month

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000014

问题如下：

Mary has IBM stock and will sell it two months from now at a specified date in the middle of the month. Mary would like to hedge the price of risk of IBM stock. How could she best hedge the IBM stock without incurring basis risk?

选项：

A.

  Short a two-month forward contract on IBM stock

B.

  Short a three-month futures contract on IBM stock

C.

  Short a two-month forward contract on the S&P 500 index

D.

  Answers A and B are correct.

解释：

ANSWER: A

Basis risk is minimized when the maturity of the hedging instrument coincides with the horizon of the hedge (i.e., two months) and when the hedging instrument is exposed to the same risk factor (i.e., IBM).

Mary has IBM stock and will sell it two months from now at a specified date in the middle of the month. 老师，能翻译下这句话吗？是2个月后卖股票吗？at a specified date in the middle of the month怎么理解？到底什么时候卖股票？in the middle of the month，这个month说的是哪个月？谢谢。

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DD仔_品职助教 · 2023年02月03日

嗨，从没放弃的小努力你好：


同学你好，

这句话说的是mary准备从现在开始起算2个月之后卖出股股票，并且这个日子是月中某一天。没有说明具体哪个月，比如说现在是1月14号，那么mary就是3月14号卖，如果现在是9月15号，那么mary就是11月15号卖。

这个日子不是重点，重点是mary准备2个月之后卖股票，卖股票最担心股价下跌，那就弄一个股价下跌了对mary有好处的合约，那就是short2个月的forward基础资产是这支股票

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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