金融衍生工具Derivatives
Exercises Answers
Question 1
The basis strengthens unexpectedly. Which of the following is true (circle one)
(a)  A short hedger's position improves.
(b) A short hedger's position worsens.
(c) A short hedger's position sometimes worsens and sometimes improves.
(d) A short hedger's position stays the same.
Short Hedge
•Suppose that
F1: Initial Futures Priceposition of the day
F2: Final Futures Price
S2: Final Asset Price
•You hedge the future sale of an asset by entering into a short futures contract
spring cloud是做什么的>句柄java•Price Realized=S2+(F1 –F2)= F1+Basis
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Question 2
shell比较数字大小On March 1 the spot price of a commodity is $20 and the July futures price is $19. On June 1 the spot price is $24 and the July futures price is $23.50. A company entered into a futures contract on March 1 to hedge the purchase of the commodity on June 1. It closed out its position on June 1. What is the effective price paid by the company for the commodity?
Long Hedge
卡布西游属性相克表
•Suppose that
F1: Initial Futures Price
F2: Final Futures Price
S2: Final Asset Price
•You hedge the future purchase of an asset by entering into a long futures contract
•Cost of Asset=S2–(F2–F1)= F1+ Basis                =19+(24-23.5)=19.5
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