basis swap

问题如下：

An analyst thinks that the price of A crude oil will increase more than that of B crude oil. Based on this, which position should the analyst take?

选项：

A.

a basis swap long on A crude oil and short on B crude oil

B.

a basis swap long on B crude oil and short on A crude oil

C.

a short position in an excess return swap that is based on a fixed level of the commodity Index.

解释：

A is correct.

basis swap基于两种类似商品的价格变动，分析师预测A原油的价格增长会高于B原油的价格增长，所以应该是Long A, short B. 同时，题目并没有给出与index的相对变化，所以不能用excess return swap，而是要用basis swap。