韩韩_品职助教 · 2020年06月23日
嗨，爱思考的PZer你好：
同学你好，第三个是进入一个short excess return swap的头寸，基于的是ICE brent index现在的level，题目背景中告诉我们ICE Brent index未来会上升，既然未来价格会上升，我们进入的头寸应该是Long头寸。对于excess return swap。
In an excess return swap, the payments to either party are driven primarily by the changes in price of each of the futures contracts that comprise the index. The net change in the prices of the underlying futures contracts is defined as the “excess” return, and the excess return is multiplied by the contract’s notional amount to determine the payments between buyer and seller. 这是Excess return swap的定义，主要就是跟一个对象进行比较，这里说了是increase than current level，那么就是说从现在的水平上升到一个值，也是可以做比较的。
-------------------------------加油吧，让我们一起遇见更好的自己！
