【求助】关于期货合约收益计算 [推广有奖]

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云晶枫

发表于 2013-3-25 22:34:02 |AI写论文

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考虑外汇期货，3月20日时现货市场是GBP1=USD1.6200,期货市场是GBP1=USD1.6300. 9月20日时现货市场是GBP1=USD1.6125,期货市场是GBP1=USD1.6225. 一个人在3月20日买进20张英镑期货合约，9月20日时买进125万英镑并卖出20张英镑期货合约。那计算现货市场的收益时，为什么是－1.6125×125＋1.6200×125＝0.9375万美元，而不要把9月20日交割后的钱折现回3月20日，然后再计算收益呢？谢谢！！

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关键词：期货合约期货市场外汇期货 gbp USD 计算期货收益

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Chemist_MZ 发表于2楼查看完整内容

The answer is quite straightforward. Say you buy a stock at 10$ per share at time t, and you sell at 11$ 10 days later. Of course your return is 10% or 1$ Since it is a risky return, so you can not discount it with a riskfree rate. Nobody knows what discount factor should we use. Just use the most simple way to calculate the return, just as your parents calculate the investment return on ...

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Chemist_MZ

发表于 2013-3-26 06:29:05

The answer is quite straightforward.

Say you buy a stock at 10$ per share at time t, and you sell at 11$ 10 days later. Of course your return is 10% or 1$

Since it is a risky return, so you can not discount it with a riskfree rate. Nobody knows what discount factor should we use.

Just use the most simple way to calculate the return, just as your parents calculate the investment return on stocks (if they trade stocks :-) ).