标题: Reading 36: Commodity Forwards and Futures－LOS b [打印本页]
作者: tycoon 时间: 2008-9-16 15:42 标题: [2008] Session 11－Reading 36: Commodity Forwards and Futures－LOS b
CFA Institute Area 8-11, 13: Asset Valuation
Session 11: Alternative Investments for Portfolio Management
Reading 36: Commodity Forwards and Futures
LOS b, (Part 1): Identify and explain the arbitrage situations which arise as a result of the convenience yield of a commodity.
作者: tycoon 时间: 2008-9-16 15:43
Which of the following statements regarding commodity spreads is least accurate?
A) | The difference in prices of crude oil, heating oil, and gasoline is known as a crush spread. |
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| B) | A trader creates a crush spread by holding a long position in soybeans and a short position in soybean meal and soybean oil. |
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| C) | A commodity spread results from a commodity that is an input in the production process of other commodities. |
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| D) | A 5-3-2 crack spread reflects 5 gallons of crude oil, 3 gallons of gasoline, and 2 gallons of heating oil. |
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Answer and Explanation
The difference in prices of crude oil, heating oil, and gasoline is known as a crack spread.
作者: tycoon 时间: 2008-9-16 15:43
Which of the following statements regarding the convenience yield is least accurate?
| A) | The commodity borrower is willing to pay the value of the convenience yield less the cost of storage. |
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| B) | The forward price may appear lower at times, when the convenience yield is not considered. |
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| C) | When calculating the forward price including a convenience yield the convenience yield can be continuously compounded and proportional to the value of the commodity. |
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D) | The convenience yield can be earned by the average investor who does not have a business reason for holding the commodity. |
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Answer and Explanation
The convenience yield cannot be earned by the average investor who does not have a business reason for holding the commodity.
作者: tycoon 时间: 2008-9-16 15:44
A trader in soybean futures contracts has discovered an arbitrage opportunity involving soybean futures and futures on soybean meal and soybean oil. Of the following, this most likely can occur with a:
| A) | crack spread by holding a long position in soybeans and a long position in soybean meal and soybean oil. |
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| B) | crack spread by holding a long position in soybeans and a long position in soybean meal and short position in soybean oil. |
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C) | crush spread by holding a short position in soybeans and a long position in soybean meal and soybean oil. |
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| D) | crush spread by holding a long position in soybeans and a long position in soybean meal and soybean oil. |
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Answer and Explanation
The only possible answer is a position in the input (e.g., short) and the opposite position (long in this case) in both of the outputs. This is called a crush spread.
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