关于期货动态策略的问题

Chemist_MZ 发表于 2013-10-2 00:58
I know, most of the text books will not say this. Even not included in Hull's book.

I learn it  ...

hi~~i  cannot understand this:"The money you pay is just the interest rate".
short a spot at time t: get money S(t);
At time T: S(t) becomes S(t)/B(t,T);
               exercise the forward contratct: the delivery price K=S(t)/B(t,T).

So the interest rate equals S(t)/B(t,T)-S(t)

Chemist_MZ 发表于 2013-10-2 00:58
I know, most of the text books will not say this. Even not included in Hull's book.

I learn it  ...

还想再问一下，根据您所说的，是不是设计衍生品的初衷就是为了让衍生品所产生的cash flow 去cover 一个asset的cash flow.

不好意思，我问的问题有点傻。O(∩_∩)O~

苇萱 发表于 2013-10-2 02:14
还想再问一下，根据您所说的，是不是设计衍生品的初衷就是为了让衍生品所产生的cash flow 去cover 一个as ...

1. Yes, you are almost there.

short a spot, get S(t)

long a future contract, at time T, you pay S(t)/B(t,T) to buy back the asset.

so your net cash flow is S(t)-S(t)/B(t,T), if you assume the "average" interest rate on this period is r, then, use single compounding: B(t,T)=1/(1+r(T-t))

S(t)-S(t)/B(t,T)=S(t)-S(t)(1+r(T-t))=-rS(t)(T-t), which is the interest you paid.

2. Yes, you can say that. The essence of risk is the uncertainty of cash flow. Sometimes some derivative such as american option or credit derivative may have an uncertainty both in time and cash flow it is more complicated (you will receive unknown cash flow at an unknown point). I am glad you realize that.

best,

Chemist_MZ 发表于 2013-10-2 02:58
1. Yes, you are almost there.

short a spot, get S(t)

天啊，你好好啊~~这么晚还回复我的贴子，感动。

土豪，求交朋友啊~~我有给你发消息~~~

niu........