开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

nanaluo · 2021年10月07日

请问基础课含仓储成本的画图大法推导在哪里

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000039

问题如下：

A farmer plans to sell 50,000 tons of soybeans in six months, he decides to short futures contracts to hedge against the price deline. The current price of soybeans is $ 508/ton, the contract size is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounded rate is 5%, what's the price for the futures contract ?

选项：

A.

$35412.

B.

$76634.

C.

$50217.

D.

$52478.

解释：

D is correct.

考点：远期合约定价

解析：

FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78

x100 tons per contract = $52478

请问基础课含仓储成本的画图大法推导在哪里

添加评论
3 个答案

品职答疑小助手雍 · 2021年10月24日

同学你好，本来就是C-Y啊，期货价格其实就是把你货物的机会成本加上再把能获得的收益减掉得来的。

品职答疑小助手雍 · 2021年10月07日

嗨，爱思考的PZer你好：


同学你好，这个后面一章是cost of carry，其实道理都是一样的，持有的成本（利率和storage cost等）都要算在cost里，计入期货的价格。

而获得的yield要在价格里减去（拓展，本题不涉及）。

合起来其实就是讲义210页的公式。storage cost在C里面累加即可。

----------------------------------------------
努力的时光都是限量版，加油！

品职答疑小助手雍 · 2021年10月07日

同学你好，视频位置如截图

nanaluo · 2021年10月07日

视频中给出的是金额形式的storage cost的离散处理方式，可以请教下费率形式的storage cost的连续处理方式及图形吗？

Jessie999 · 2021年10月24日

老师请教一下为什么不是c-y而是c+y呀

  • 3

    回答

  • 1

    关注

  • 502

    浏览
相关问题

NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0​e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478红色圈出来的是老师上课讲的公式，在这种离散情况下，PVCost在t0时刻到底怎么求，是不是题目得告诉具体cost金额，那除以的利率和时间呢？连续函数怎么用上面这个公式类似推导出来

2024-05-18 10:30 1 · 回答

NO.PZ2019052801000039 问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412. B.$76634. C.$50217. $52478. is correct. 考点远期合约定价解析FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0​e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478 以下是我的解题思路按老师讲的大原则，FP=S0+cost-income，同时期货定价和远期定价一样，所以通过期初V0=0构建公式。FP/(e^R*T)=s0(1+1.5%)^0.5请问以上哪里不对呢？

2024-03-06 22:08 1 · 回答

NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0​e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478cost的算法为什么不是508*1.5%/2然后加上508再乘e^5%*0.5

2023-07-14 09:41 3 · 回答

NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0​e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478这个题目按照公式计算差别很大，完全没边，请问特殊点在哪里？谢谢

2023-03-01 02:03 1 · 回答

NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.is correct. 考点远期合约定价解析FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78FP=S0​e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478这边的cost为什么不剪掉而是加上

2023-02-17 11:20 1 · 回答