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Clare · 2022年04月30日

price realized 100000（S+15），虽然是cents但书上例题没有 用1000，为什么会还有cost （S-15）？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000040

问题如下：

On January 15 of Year 1, a company decides to hedge the sell of 100,000 bushels of corn on February 15 of Year 2. The following table gives futures prices (cents per bushel) of three selected contracts on four different dates. Explain how the company can use the contracts to create the required hedge. What is the net (after hedging) price paid for the corn as a function of the spot price on Febru-ary 15 of Year 2? Each corn contract is on 5,000 bushels.

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解释：

The company should short 20 May contracts on January 15 of Year 1 and close them out by buying 20 May contracts on April 15 of Year 1. It should short 20 September contracts on April 15 of Year 1 and close them out by buying 20 September contracts on August 15 of Year 1. It should short 20 March contracts on August 15 of Year 1 and close them out on February 15 of Year 2. The gain on the short positions in cents per bushel is

(300 - 320) + (330 - 320) + (325 - 300) = 15

The price paid is therefore S + 15 cents per bushel, where S is the spot price on February 15 of Year 2. In total, the cost in USD is 1,000(S-15).

price realized 100000（S+15），虽然是cents但书上例题没有 用1000，为什么会还有cost （S-15）？

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1 个答案

品职答疑小助手雍 · 2022年04月30日

同学你好， 忽略最后那个cost的话，这道题到了实际卖出价格是S+15其实就差不多够了。

最后一句话是之前修改题目之后的遗留问题，修改了之后，最后一句话需要删掉，带来不便请谅解，已经反馈给后台了。

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