There are two basic concepts in finance: time-value of money and uncertainty about expectations. |
金融里有两种基本概念:金钱的时间价值和预期的不确定性。 |
The two concepts are the core of financial valuations, including futures contracts. |
这两个概念是金融估值的核心,包括期货合约。 |
cost-of-carry model is the most widely accepted and used for pricing futures contract |
持有成本模型是期货合约定价中最为广泛接受和使用的定价方法。 |
Cost-of-carry Model |
持有成本模型 |
Cost-of-carry model is an arbitrage-free pricing model. |
持有成本模型是一种无套利的定价模型。
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Its central theme is that futures contract is so priced as to preclude arbitrage profit. |
其核心主题是,期货合约是如此定价,以排除套利利润。 |
In other words, investors will be indifferent to spot and futures market to execute their buying and selling of underlying asset because the prices they obtain are effectively the same. |
换言之,投资者将对是现货还和期货市场实行他们的购买和出售相关资产表现的漠不关心,因为他们获得的价格实际上是相同的。 |
Expectations do influence the price, but they influence the spot price and, through it, the futures price. |
预期确实会影响价格,但他们影响的是现货价格,并通过它,来影响期货价格。 |
They do not directly influence the futures price. |
他们不会直接影响期货价格。
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According to the cost-of-carry model, the futures price is given by Futures price(Fp) = Spot Price(Sp) + Carry Cost(Cc) - Carry Return(Cr) (1) |
根据持有成本模型,期货价格是由期货价格(Fp)=现货价格(SP)+运输成本(CC)-持有收益(CR)(1) |
Carry cost (CC) is the interest cost of holding the underlying asset (purchased in spot market) until the maturity of futures contract. |
持有成本(CC)是持有相关资产(现货市场购买),直到期货合约的到期日的利息成本。 |
Carry return (CR) is the income (e.g., dividend) derived from underlying asset during holding period. |
持有收益(CR)是持有期间标的资产的收益(例如,股息)。 |
Thus, the futures price (F) should be equal to spot price (S) plus carry cost minus carry return. |
因此,期货价格(F)应等于现货价格(S)加上持有成本减去持有收益。 |
If it is otherwise, there will be arbitrage opportunities as follows |
否则,将有如下套利机会
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When F > (S + CC - CR): Sell the (overpriced) futures contract, buy the underlying asset in spot market and carry it until the maturity of futures contract. |
当F >(S + CC -CR):卖出(高估)期货合约,在现货市场买入相关资产并进行至期货合约到期。 |
This is called "cash-and-carry" arbitrage. |
这被称为“现金与持有”套利。 |
When F < (S + CC - CR): Buy the (under priced) futures contract, short-sell the underlying asset in spot market and invest the proceeds of short-sale until the maturity of futures contract. |
当F<(S + CC -CR):购买(低估)期货合约,卖空现货市场的相关资产,并投资于卖空的收益,直到期货合约的到期。 |
This is called "reverse cash-and-carry" arbitrage. |
这就是所谓的“反向现金与持有”套利。 |