{"id":19736,"date":"2011-04-07T09:44:00","date_gmt":"2011-04-07T09:44:00","guid":{"rendered":"http:\/\/trainingsnews.com\/pretul-contractului-futures-pe-indicele-2"},"modified":"2011-04-07T09:44:00","modified_gmt":"2011-04-07T09:44:00","slug":"pretul-contractului-futures-pe-indicele-2","status":"publish","type":"post","link":"https:\/\/cvnextjob.com\/index.php\/2011\/04\/07\/pretul-contractului-futures-pe-indicele-2\/","title":{"rendered":"Pre\u0163ul contractului futures pe indicele BET"},"content":{"rendered":"<div style=\"margin-top: 0px; margin-bottom: 0px;\" class=\"sharethis-inline-share-buttons\" ><\/div><div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">Pre\u0163ul contractului futures este apropiat de pre\u0163ul indicelui, dar poate fi mai mare sau mai mic datorit\u0103 efectelor economice ale factorilor care fac distinc\u0163ia \u00eentre o pozi\u0163ie cash (de\u0163inerea \u00een prezent a ac\u0163iunilor din compozi\u0163ia indicelui) \u015fi o pozi\u0163ie futures. \u00cen primul r\u00e2nd, dac\u0103 s-au cump\u0103rat \u00een prezent ac\u0163iunile din compozi\u0163ia indicelui, trebuiesc pl\u0103tite integral. Dac\u0103 \u00eens\u0103, s-a adoptat o pozi\u0163ie long pe contracte futures, suma de bani necesar\u0103 ar fi limitat\u0103 la o marj\u0103 care reprezint\u0103 o sum\u0103 de bani mult mai mic\u0103 dec\u00e2t valoarea tranzac\u0163iei.&nbsp;<\/span><span class=\"Apple-style-span\" style=\"font-size: 16px;\">\u00cen al doilea r\u00e2nd, de\u0163inerea \u00een prezent a ac\u0163iunilor de la baza indicelui presupune beneficierea de dividendele pe care acestea le pl\u0103tesc. La contractele futures nu se pl\u0103tesc dividende.&nbsp;<\/span><span class=\"Apple-style-span\" style=\"font-size: 16px;\">Pentru ca pre\u0163ul futures s\u0103 reflecte valoarea unei pozi\u0163ii cash comparabile (de\u0163inerea ac\u0163iunilor de la baza indicelui), diferen\u0163ele generate de costurile de finan\u0163are \u015fi dividende trebuie s\u0103 se reg\u0103seasc\u0103 \u00een pre\u0163ul futures. Prin urmare, pre\u0163urile futures trebuie s\u0103 se deosebeasc\u0103 de pre\u0163ul indicelui printr-o prim\u0103 sau discount, \u00een func\u0163ie de efectul net al celor doi factori men\u0163iona\u0163i anterior.<\/span><\/div>\n<div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">Diferen\u0163a dintre pre\u0163ul cash \u015fi cel futures se nume\u015fte cost de men\u0163inere. El este de regul\u0103, cel mai mare pentru contractele cu scaden\u0163ele cele mai \u00eendep\u0103rtate \u015fi se diminueaz\u0103 pe durata de via\u0163\u0103 a contractului. La scaden\u0163\u0103, pre\u0163ul indicelui \u015fi pre\u0163ul s\u0103u futures converg.<o:p><\/o:p><\/span><\/div>\n<div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">Avem urm\u0103toarea formul\u0103 de calcul:<o:p><\/o:p><\/span><\/div>\n<div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">Pre\u0163ul futures al indicelui BET(ROL)=Pre\u0163ul indicelui BET(ROL)_ EMBED Equation.3&nbsp; ___<o:p><\/o:p><\/span><\/div>\n<div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">Unde:&nbsp;&nbsp; r&nbsp; =&nbsp; rata anual\u0103 a dob\u00e2nzii pe pia\u0163a monetar\u0103;<o:p><\/o:p><\/span><\/div>\n<div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">d = rata medie anual\u0103 a dividendului pentru ac\u0163iunile din structura indicelui BET(ROL);<o:p><\/o:p><\/span><\/div>\n<div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T =&nbsp; num\u0103rul de zile p\u00e2n\u0103 la scaden\u0163\u0103.<o:p><\/o:p><\/span><\/div>\n<div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">Consider\u00e2nd valorile: r=60%, d=20%, T=90 de zile \u015fi pre\u0163ul indicelui BET(ROL) de 350, vom ob\u0163ine un pre\u0163 futures de<o:p><\/o:p><\/span><\/div>\n<div style=\"text-align: justify;\"><span lang=\"EN-AU\" style=\"font-size: 12pt;\">350_ EMBED Equation.3&nbsp; ___=385.<o:p><\/o:p><\/span><\/div>\n<div style=\"text-align: justify;\">\n<\/div>\n<div style=\"text-align: justify;\">\n<\/div>\n<div style=\"text-align: justify;\">\n<\/div>\n<div style=\"text-align: justify;\">\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Pre\u0163ul contractului futures este apropiat de pre\u0163ul indicelui, dar poate fi mai mare sau mai mic datorit\u0103 efectelor economice ale factorilor care fac distinc\u0163ia \u00eentre o pozi\u0163ie cash (de\u0163inerea \u00een prezent a ac\u0163iunilor din compozi\u0163ia indicelui) \u015fi o pozi\u0163ie futures. \u00cen primul r\u00e2nd, dac\u0103 s-au cump\u0103rat \u00een prezent ac\u0163iunile din compozi\u0163ia indicelui, trebuiesc pl\u0103tite integral. [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[11],"tags":[],"aioseo_notices":[],"_links":{"self":[{"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/posts\/19736"}],"collection":[{"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/comments?post=19736"}],"version-history":[{"count":0,"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/posts\/19736\/revisions"}],"wp:attachment":[{"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/media?parent=19736"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/categories?post=19736"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/cvnextjob.com\/index.php\/wp-json\/wp\/v2\/tags?post=19736"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}