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王一 · 2020年03月05日

问一道题：NO.PZ2016082404000019

  1. FRM I
  2. Financial Markets And Products

问题如下：

XYZ Co. is a gold producer and will sell 10,000 ounces of gold in three months at the prevailing market price at that time. The standard deviation of the change in the price of gold over a three-month period is 3.6%. In order to hedge its price exposure, XYZ Co. decides to use gold futures to hedge. The contract size of each gold futures contract is 10 ounces. The standard deviation of the gold futures price is 4.2%. The correlation between quarterly changes in the futures price and the spot price of gold is 0.86. To hedge its price exposure, how many futures contracts should XYZ Co. go long or short?

选项：

A.

  Short 632 contracts

B.

  Short 737 contracts

C.

  Long 632 contracts

D.

  Long 737 contracts

解释：

ANSWER: B

XYZ will incur a loss if the price of gold falls, so should short futures as a hedge. The optimal hedge ratio is ρσSσF=0.86×3.64.2=0.737.\rho\frac{\sigma_S}{\sigma_F}=0.86\times\frac{3.6}{4.2}=0.737.. Taking into account the size of the position, the number of contracts to sell is 0.737×10,00010=737.0.737\times\frac{10,000}{10}=737.

这道题不应该是：β×期货数量×10=10000 吗？

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品职答疑小助手雍 · 2020年03月06日

同学你好，细品一下下图的上半部分~

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NO.PZ2016082404000019 XYZ Co. is a golprocer anwill sell 10,000 ounces of golin three months the prevailing market prithtime. The stanrviation of the change in the priof golover a three-month periois 3.6%. In orr to hee its priexposure, XYZ Co. cis to use golfutures to hee. The contrasize of eagolfutures contrais 10 ounces. The stanrviation of the golfutures priis 4.2%. The correlation between quarterly changes in the futures prianthe spot priof golis 0.86. To hee its priexposure, how many futures contracts shoulXYZ Co. go long or short?   Short 632 contracts   Short 737 contracts   Long 632 contracts   Long 737 contracts ANSWER: B XYZ will incur a loss if the priof golfalls, so shoulshort futures a hee. The optimhee ratio is ρσSσF=0.86×3.64.2=0.737.\rho\frac{\sigma_S}{\sigma_F}=0.86\times\frac{3.6}{4.2}=0.737.ρσF​σS​​=0.86×4.23.6​=0.737.. Taking into account the size of the position, the number of contracts to sell is 0.737×10,00010=737.0.737\times\frac{10,000}{10}=737.0.737×1010,000​=737. 737我求出来了，现在是回答long和short的问题有些障碍。 1.我的理解是因为要sell，所以担心价格下跌，所以short；担心价格上涨，long；是吗？ 2.老师讲过Beta大于0就long，是不是这个只能用于股指期数，不是在这里用的。这里的h和beta的计算公式很相似，不知道能不能串用。

2022-02-11 16:19 1 · 回答

這題可以用李老師的思維講一下嗎

2019-11-10 16:04 1 · 回答

     老师你好，这道题还是不理解为什么hee ratio不是0.86*4.2/3.6呢，不应该是现货价格变化在分母吗？

2019-08-15 16:34 1 · 回答

如何区分应该LONG还是short

2019-04-21 17:07 2 · 回答