文档介绍：Chapter 3 Hedging Strategies Using Futures
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Long & Short Hedges
A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price
A short futures hedge is appropriate when you know you will sell an asset in the future and want to lock in the price
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精品资料
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你怎么称呼老师？
如果老师最后没有总结一节课的重点的难点，你是否会认为老师的教学方法需要改进？
你所经历的课堂，是讲座式还是讨论式？
教师的教鞭
“不怕太阳晒，也不怕那风雨狂，只怕先生骂我笨，没有学问无颜见爹娘 ……”
“太阳当空照，花儿对我笑，小鸟说早早早……”
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支持套期保值的观点
Companies should focus on the main business they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables
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反对套期保值的观点
Shareholders are usually well diversified and can make their own hedging decisions
It may increase risk to hedge when competitors do not
Explaining a situation where there is a loss on the hedge and a gain on the underlying can be difficult
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基差风险
Basis is usually defined as the spot price minus the futures price
Basis risk arises because of the uncertainty about the basis when the hedge is closed out
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Long Hedge for Purchase of an Asset
Define
F1 : Futures price at time hedge is set up
F2 : Futures price at time asset is purchased
S2 : Asset price at time of purchase
b2 : Basis at time of purchase
Cost of asset
S2
Gain on Futures
F2 −F1
Net amount paid
S2 − (F2 −F1) =F1 + b2
交叉套期保值的情形
F1 + (S2*-F2)+(S2-S2*)
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Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C. Hull 2012
Short Hedge for Sale of an Asset
Define
F1 : Futures price at time hedge is set up
F2 : Futures price at time asset is sold
S2 : Asset price at time of sale
b2 : Basis at time of sale
Price of asset
S2
Gain on Futures
F1 −F2
Net amount received
S2 + (F1 −F2) =F1 + b2
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期货合约的选择
Choose a delivery month that is as close as possible to, but later than, the end of the life of the hedge
When