| There are two basic concepts in finance: time-value of money and uncertainty about expectations. |
Terdapat dua konsep asas dalam kewangan: nilai masa wang dan ketidaktentuan mengenai jangkaan. |
| The two concepts are the core of financial valuations, including futures contracts. |
Kedua-dua konsep tersebut menjadi teras penilaian kewangan, termasuklah kontrak niaga hadapan. |
| cost-of-carry model is the most widely accepted and used for pricing futures contract |
Model kos pegangan ialah kaedah yang digunakan secara paling meluas dalam perletakan harga kontrak niaga hadapan. |
| Cost-of-carry Model |
Model Kos Pegangan |
| Cost-of-carry model is an arbitrage-free pricing model. |
Model kos pegangan merupakan model perletakan harga yang bebas-arbitraj. |
| Its central theme is that futures contract is so priced as to preclude arbitrage profit. |
Prinsip utamanya ialah kontrak niaga hadapan diniagakan pada harga yang dapat menghalang keuntungan daripada aktiviti arbitraj. |
| 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. |
Dalam erti kata lain, pelabur tidak akan cenderung untuk melakukan belian dan jualan aset pendasar dalam pasaran semerta atau pasaran niaga hadapan kerana harga kedua-dua pasaran tersebut ialah sama. |
| Expectations do influence the price, but they influence the spot price and, through it, the futures price. |
Jangkaan sememangnya mempunyai pengaruh ke atas harga, namun ia mempengaruhi harga semerta dan melalui pengaruh itu, ia mempengaruhi harga niaga hadapan. |
| They do not directly influence the futures price. |
Jangkaan tidak mempengaruhi harga niaga hadapan secara langsung. |
| 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) |
Menurut model kos pegangan, harga niaga hadapan ditentukan melalui rumus
Harga Niaga Hadapan(Fp) = Harga Semerta(Sp) + Kos Pegangan(Cc) - Pulangan pegangan(Cr) (1) |
| Carry cost (CC) is the interest cost of holding the underlying asset (purchased in spot market) until the maturity of futures contract. |
Kos pegangan (Cc) merupakan kos faedah untuk membiayai pemegangan aset pendasar, yang dibeli melalui pasaran semerta, sehingga kematangan kontrak niaga hadapan. |
| Carry return (CR) is the income (e.g., dividend) derived from underlying asset during holding period. |
Pulangan pegangan (Cr) ialah hasil yang diperoleh daripada aset pendasar sepanjang tempoh pegangan, seperti dividen. |
| Thus, the futures price (F) should be equal to spot price (S) plus carry cost minus carry return. |
Oleh itu, harga niaga hadapan (F) seharusnya sama dengan harga semerta (S) dicampurkan dengan kos pegangan dan dikurangkan dengan pulangan pegangan. |
| If it is otherwise, there will be arbitrage opportunities as follows |
Jika keadaan sebaliknya berlaku, akan timbul peluang arbitraj seperti berikut |
| 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. |
Apabila F > (S + CC - CR): Jual kontrak niaga hadapan yang terlebih harga, beli aset pendasar melalui pasaran semerta dan pegang aset pendasar tersebut sehingga kematangan kontrak niaga hadapan. |
| This is called "cash-and-carry" arbitrage. |
Ini dipanggil arbitraj "tunai dan pegang". |
| 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. |
Apabila F < (S + CC -CR): Beli kontrak niaga hadapan yang terkurang harga, lakukan jualan jangka turun terhadap aset pendasar dalam pasaran semerta dan laburkan hasil jualan jangka turun tersebut sehingga kematangan kontrak niaga hadapan. |
| This is called "reverse cash-and-carry" arbitrage. |
Ini dipanggil arbitraj "tunai dan pegang songsang". |
