谢同学2023-05-09 19:53:00

第三题，看你们提供的答案部分A is incorrect because this calculates price and roll return for a long position rather than a short position. For a long position, the total return consists of the price return ((current price – previous price)/previous price) plus the roll return ((near-term contract price – farther-term contract price)/near-term price) plus the collateral return. So in this case, the total return = (23.720 – 23.865)/23.720 + (23.720 – 23.785)/23.720 + 0.0030/12 = –0.00611 + –0.00274 + 0.00025 = –0.0086 = –0.86%.，其中价格收益这部分的分母应该是previous price，而你们取值是current price？同时current price是roll return公式里的near-term price。另外这道题在官网上也有很多讨论。