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Pina · 2021年11月07日

roll return

NO.PZ2018111302000064

问题如下:

An analyst wants to calculate the total return of a recent trade executed by a commodity fund. The fund took a fully collateralized long futures position in nearby soybean futures contracts at the quoted futures price of 755.0 (US cents/bushel). Three months later, the entire futures position was rolled when the near-term futures price was 768.0 and the further-term futures price was 773.0. During the three-month period between the time that the initial long position was taken and the rolling of the contract, the collateral earned an annualized rate of 0.40%. The fund’s three-month total return on the soybean futures trade is closest to:

选项:

A.

1.17%.

B.

1.47%.

C.

1.72%.

解释:

A is correct.

考点:大宗商品收益计算

解析:Total return由三部分构成,现货收益,滚动收益和抵押收益,分别计算这三部分然后加和即可。

现货收益=(当前价格-以前价格)/以前价格,从题目中找到对应数据现价为768,之前的价格为755,那么现货收益=(768-755)/755=1.7219%

滚动收益=(近期合约价格-远期合约价格)/近期合约价格,对应题目数据,近期合约价格为768,远期合约价格为773,那么滚动收益 =(768-773)/768=-0.6510%

抵押收益,合约期总共3个月,那么抵押收益为(3/12)*0.4%=0.1%

总收益=现货收益+滚动收益+抵押收益 = 1.7219 - 0.6510 + 0.1=1.1709%

老师好 这里的roll return 的period 是3个月,所以乘以3/12. 如果roll return 的period 是5 天的话, 是否要乘以 5/360? 还是5/365? 谢谢。

2 个答案
已采纳答案

lynn_品职助教 · 2021年11月08日

嗨,爱思考的PZer你好:


1) roll return 需不需要 乘以% rolled? 比如 分五天roll 要乘以 1/5. 如果是分3个月roll 需要乘以多少,是否要转成天数 比如 三个月 假设一个月30天的话,3个月就是 90天 那就乘以1/90?

回答同学的问题: 如果题目是求期间的return, 就需要将题目中的年利率转为相同期间的利率计算。复利原则上一年算365天,用需要求的天数/365进行转化,但是如果题目中给的是几个月这样的描述,譬如说3 months,6months,由于并不知道每个月的确切天数,所以就会用3/12,6/12这样来计算。

PS:Libor的折现一定是用360天;

2) 还有前面的问题是想问collateral return 。三个月乘以3/12 如果是5天的话,是乘以5/360 还是 5/365?

用5乘以365天。

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Pina · 2021年11月07日

老师好1) roll return 需不需要 乘以% rolled? 比如 分五天roll 要乘以 1/5. 如果是分3个月roll 需要乘以多少,是否要转成天数 比如 三个月 假设一个月30天的话,3个月就是 90天 那就乘以1/90? 2) 还有前面的问题是想问collateral return 。三个月乘以3/12 如果是5天的话,是乘以5/360 还是 5/365? 谢谢。

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2024-07-09 17:53 1 · 回答

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