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梦梦 · 2024年06月02日

不明白红线的话为什么正确

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000040

问题如下：

On January 15 of Year 1, a company decides to hedge the sell of 100,000 bushels of corn on February 15 of Year 2. The following table gives futures prices (cents per bushel) of three selected contracts on four different dates. Explain how the company can use the contracts to create the required hedge. What is the net (after hedging) price received for the corn as a function of the spot price on Febru-ary 15 of Year 2? Each corn contract is on 5,000 bushels.

解释：

The company should short 20 May contracts on January 15 of Year 1 and close them out by buying 20 May contracts on April 15 of Year 1. It should short 20 September contracts on April 15 of Year 1 and close them out by buying 20 September contracts on August 15 of Year 1. It should short 20 March contracts on August 15 of Year 1 and close them out on February 15 of Year 2. The gain on the short positions in cents per bushel is

(300 - 320) + (330 - 320) + (325 - 300) = 15

The price received is therefore S + 15 cents per bushel, where S is the spot price on February 15 of Year 2.


老师，您说这个同学的红线话从总收益的角度是正确的，但是我不太明白，最后short futures平仓，期货头寸变成0了，总共赚了15，一开始未来就是计划sell spot ，所以卖出货物收到市场价格S，总收益应该是S+15啊？

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品职答疑小助手雍 · 2024年06月02日

同学你好，我看了一下那个回复，忽略你看到的那条，看下面那次回复吧。

这题本身就是要在未来卖出玉米的，所以才会用做空期货进行对冲。题目问的是最终实际卖玉米会收到多少钱。

因为期货端赚了15，所以卖玉米的总共收到的钱就是S+15。

梦梦 · 2024年06月02日

好的，谢谢

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NO.PZ2020012001000040问题如下 On January 15 of Ye1, a company cis to hee the sell of 100,000 bushels of corn on February 15 of Ye2. The following table gives futures prices (cents per bushel) of three selectecontracts on four fferent tes. Explain how the company cuse the contracts to create the requirehee. Whis the net (after heing) prireceivefor the corn a function of the spot prion Febru-ary 15 of Ye2? Eacorn contrais on 5,000 bushels. The company shoulshort 20 Mcontracts on January 15 of Ye1 anclose them out buying 20 Mcontracts on April 15 of Ye1. It shoulshort 20 September contracts on April 15 of Ye1 anclose them out buying 20 September contracts on August 15 of Ye1. It shoulshort 20 Marcontracts on August 15 of Ye1 anclose them out on February 15 of Ye2. The gain on the short positions in cents per bushel is (300 - 320) + (330 - 320) + (325 - 300) = 15 The prireceiveis therefore S + 15 cents per bushel, where S is the spot prion February 15 of Ye2. 请老师详细写下每个合同的买或者卖，买卖时间，价格是多少？表格是什么意思？基础课此题听好几遍仍然非常糊涂。比如八月份到底该干啥，九月价格有没有用？最后合同为啥减去300？谢谢。计算规则是什么

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