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云烟2023 · 2021年03月14日

题目和答案都不懂

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000033

问题如下：

20 futures contracts are used to hedge an exposure to the price of soybeans. Each futures contract is on 5,000 bushels. At the time the hedge is closed out, the basis is 20 cents per bushel. What is the effect of the basis on the hedger if (a) the purchase of soybeans is being hedged and (b) the sale of soybeans is being hedged?

解释：

The basis increases the net price after hedging by 20 * 5,000 * USD 0.20 or USD 20,000. In (a) this is an extra cost to the hedger. In (b) it is an extra amount received from the sale of soybeans.

题目和答案都不太明白，老师能翻译一下吗？
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1 个答案

小刘_品职助教 · 2021年03月14日

同学你好，

题目的意思是投资者用20份大豆期货的头寸来hedge了自己的现货头寸，每一份大豆期货是有5000桶。在对冲结束的时候，存在了基差，即basis=SP-FP大于0，然后问基差对于未来用买大豆和未来要卖大豆时分别有什么影响。


从回答来看，可以忽略计算。


就a小问而言：说未来要买大豆，为了防止价格的上涨，所以选择的是long futures。

到期结算的时候相当于卖FP，买入SP，basis>0的时候，在结算的时候就是个亏损，所以是是cost for the long position。


就b小问而言，就是跟a 相反的，所以是额外的收益。

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