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Ryoooh · 2020年03月08日

问一道题：NO.PZ2020012001000040 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

On January 15 of Year 1, a company decides to hedge the purchase 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 paid 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 paid is therefore S - 15 cents per bushel, where S is the spot price on February 15 of Year 2. In total, the cost in USD is 1,000(S-15).

请问这题如何判断是S+15还是S-15呢？
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2 个答案

袁园_品职助教 · 2020年03月21日

同学你好！

要看这个 hedge 是怎么做的，这道题目中是 short futures, 所以一开始进入是 short，结束中间头寸的时候是 long，以第一组交易为例就是 公司day 1 short contract 得到300，再花320的价格 long contract

另外，这道题题目有点问题，后台在修改了，你可以去听李老师上课讲的例题，基本是一样的。

袁园_品职助教 · 2020年03月09日

同学你好！

根据题意来判断：公司是要在未来买corn，如果不hedge的话就是到时直接付现货价格S，但是由于做了hedge，而这个hedge帮公司赚了15块，是要公司只要付S-15

Ryoooh · 2020年03月15日

嗯谢谢老师解答，这道题我不懂的点在于怎么样判断hedge是帮公司赚了15块，我自己的计算是反过来的，就是320-300+…（因为我的理解是公司day 1花300进入contract，再以320的价格结束contract，就赚了20。但是用我的方法加总的话，total应该亏15，而不是赚15

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