公司理财习题答案 第二十五章

25.1 25.2

a. b. 1. 2. 3. a. b.

Chapter 25: Derivatives and Hedging Risk

A forward contract is an agreement to either purchase or sell a specific amount of a specific good on a specific date at a specific price. It represents an obligation on both parties—the party agreeing to buy in the future at a specified price and the party agreeing to sell in the future at a specified price.

A futures contract is identical to a forward contract in that it is an agreement to either purchase or sell a specific amount of a specific good on a specific date at a specific price. It represents an obligation on both parties—the party agreeing to buy in the future at a specified price and the party agreeing to sell in the future at a specified price. The difference between futures and forwards is that futures are standardized contracts trading on exchanges with daily resettlement while forwards are agreements tailored to the needs of the counterparties.

Futures contracts have standard features and are traded on exchanges, while forward contracts are less standard and are not traded on exchanges.

Risk positions in futures are generally reversed prior to delivery, while forward contracts usually involve delivery.

The futures market is largely insulated from default risk by features such as mark- to-market and margin call provisions. i) ii) iii) i) ii) iii)

$5.10 $5.00

$0.03 + $0.05 + $0.04 - $0.02 - $5.10 = -$5.00 $4.98 $5.00

$0.03 + $0.05 + $0.04 - $0.02 - $0.12 - $4.98 = -$5.00

25.3 25.4 25.5

PForw.Cont = Face value (1 + r1) / (1 + r11)11

Both r1 and r11 decreased, but r11 has 11th power. Thus, (1 + r11)11 has more effect of downward shift. Therefore, the price of the forward contract will increase. a. b. c. d.

Sell a futures contract.

A short hedge is a wise strategy if you must hold inventory, the price of which may change before you can sell it. Buy a futures contract.

A long hedge is a wise strategy if you are locked into a future selling price for a good.

25.6 Mary Johnson is investing on wheat futures not on commodity wheat. Since she believes

that wheat futures price will fall in the future, she will take a short position on the wheat futures contract.

25.7 Your friend is a little naive about the capabilities of hedging. Hedging will reduce risk,

but it cannot eliminate it. There can be a difference in basis between the prices in two different locales. The random nature of the basis adds risk to hedging. A party to a futures contract is also subject to mark-to-mark risk. Finally, very few contracts ever

make delivery. Without assured delivery, the basis risk may be magnified. For example, a farmers contracts for wheat on the Chicago exchange, but is unable to deliver to Chicago.

Answers to End-of-Chapter Problems B-209