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小王爱学习 · 2022年02月12日

这道题我这么理解对吗？谢谢老师

  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.

因为basis是正数。所以spot price 大于future price。意思是现货长的比期货快，所以买这个期货就没啥用，还让我亏钱了，所以第一问是带来了损失。


b问，不太知道怎么理解

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2 个答案

DD仔_品职助教 · 2022年02月15日

嗨，努力学习的PZer你好：


0时刻short futures，到期时刻相当于买FP，卖SP，收益=SP-FP，这个收益的公式就和long futures是一样的，是相当于，类似long futures。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

DD仔_品职助教 · 2022年02月13日

嗨，从没放弃的小努力你好：


同学你好，

b问就是和a问反着来解释的，a问是买大豆，b问是卖大豆。

卖大豆，担心价格下跌，就签订short futures，这是0时刻的头寸，到期时刻的头寸就变成了long futures，short spot付出去买现货的钱，那么收益就是=sp-fp，基差风险增大，表示=sp-fp>0，所以是gain of asset。

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努力的时光都是限量版，加油！

小王爱学习 · 2022年02月14日

到期时刻的头寸就变成了long futures？是什么意思。future到期了就是合同终止了，为什么是long？

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