# 一次衍生品安排的完整复盘 按当时信息区分对冲方向、执行与资金计划，公平比较同一采购账的替代路径。 Entry: zh-p24 | Node: P24 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 请先实际读取本篇必读原件的指定完整单元，再围绕“按当时信息区分对冲方向、执行与资金计划，公平比较同一采购账的替代路径。”带我完成学习。先让我自己判断方向、对象或基准，再让我逐步重建一项承重计算；不要先把答案全部说出。选读分支只有我选中后才启用对应原件和输入。每次解释都分清真实规则、教学假设、作者报告与本站复算。逐事件核现金、负债、费用和剩余仓位；资金不足时停止已完成结果。使用本包正文里的完整解析反馈我哪里错、为什么、如何迁移。未来runtime_reading_log由你实际读取后填写，不能把作者或支持者日志当成自己的阅读。不要接触账户或更新冻结数据。 Before substantive teaching, actually retrieve every required reading unit for the selected scope. Read its complete designated section, including necessary assumptions, tables and footnotes. A working URL or an editorial access date is not a runtime reading receipt. Record the actual version, location, scope and what it supports. If unavailable, use a previously verified equivalent source; if the required unit remains unavailable, identify that gap rather than teach it from memory. Start runtime_reading_log empty. Once reading is complete, use a substantive diagnostic or follow the reader's request for direct explanation. Advance one complete reasoning task at a time; skip mastered basics. Distinguish original facts, supplied teaching assumptions and inference. ## Required readings and runtime protocol ```json { "export_mode": "public", "entry_id": "zh-p24", "learning_task": "按当时信息区分对冲方向、执行与资金计划，公平比较同一采购账的替代路径。", "required_readings": [ { "source_id": "MP-CME-GRAIN", "title": "Self-Study Guide to Hedging with Grain and Oilseed Futures and Options", "authors": [ "CME Group" ], "version": "归档教学指南，2026-09-21读取", "access": { "kind": "pdf_full_text", "uri": "https://www.cmegroup.com/trading/agricultural/files/grain-oilseed-hedgers-guide.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "ch2 printed pp9–14 / PDF pp11–16；ch3 printed pp17–22 / PDF pp19–24；margin pp6–7", "scope": "采购与销售方向、价量原例及当地基差。", "purpose": "按当时信息区分对冲方向、执行与资金计划，公平比较同一采购账的替代路径。" }, "supports": "采购与销售方向、价量原例及当地基差。", "limits": "公开教学例非企业实盘；p21上涨情景+.10应为+.05，p22−.02不为gain。" }, { "source_id": "MD-S05", "title": "Money Calculations for CME-cleared Futures and Options", "authors": [ "CME Group" ], "version": "2015-06-11", "access": { "kind": "pdf_full_text", "uri": "https://www.cmegroup.com/clearing/files/CME-Money-Calculations-Futures-and-Options.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "pp1–3普通期货变动现金完整单元", "scope": "逐日价格变动、乘数、现金与结算口径。", "purpose": "按当时信息区分对冲方向、执行与资金计划，公平比较同一采购账的替代路径。" }, "supports": "逐日价格变动、乘数、现金与结算口径。", "limits": "清算层计算不等于某客户的资金时点与house margin。" }, { "source_id": "MA-FSB", "title": "Liquidity Preparedness for Margin and Collateral Calls: Final Report", "authors": [ "Financial Stability Board" ], "version": "2024-12-10", "access": { "kind": "pdf_full_text", "uri": "https://www.fsb.org/uploads/P101224-1.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§3.3 printed pp18–20 / PDF pp22–24，Recommendations6–8", "scope": "抵押品资格、占用、haircut、币种、地点与及时到账。", "purpose": "按当时信息区分对冲方向、执行与资金计划，公平比较同一采购账的替代路径。" }, "supports": "抵押品资格、占用、haircut、币种、地点与及时到账。", "limits": "政策建议，不是统一现金比例或券商保证金承诺。" } ], "optional_readings": [ { "source_id": "PI-CME-EUR", "title": "CME Rulebook Chapter261: EUR/USD Futures", "authors": [ "CME Group" ], "version": "2026-09-21访问规则", "access": { "kind": "pdf_full_text", "uri": "https://www.cmegroup.com/rulebook/CME/III/250/261/261.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§26101–26102，常规合约与实物交割", "scope": "125,000欧元、报价单位与到期前平仓的合约背景。", "purpose": "选择欧元应收迁移时" }, "supports": "125,000欧元、报价单位与到期前平仓的合约背景。", "limits": "选读应收款与行情是假设；不把实物交割写成现金结算。", "branch": "eur", "required_if_selected": true }, { "source_id": "P-R03", "title": "2020 GIPS Standards Handbook for Firms", "authors": [ "CFA Institute" ], "version": "2020标准及官方在线手册", "access": { "kind": "html_full_text", "uri": "https://www.gipsstandards.org/standards/gips-standards-for-firms/gips-standards-handbook-for-firms/", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "1.A.35；2.A.23–24；2.A.29；2.A.30；2.B.4", "scope": "外部现金流、TWR/MWR、净费用方法和费用应计/付款。", "purpose": "进一步讨论回报评价口径时" }, "supports": "外部现金流、TWR/MWR、净费用方法和费用应计/付款。", "limits": "教学采用，不宣称全套GIPS合规；2.B.4是建议，不改称强制。", "branch": "evaluation", "required_if_selected": true } ], "runtime_reading_log": [], "supplied_inputs": { "case_inputs": [ { "id": "CME-GRAIN-TEACHING", "owner": "P21", "consumers": [ "P21", "P23", "P24" ], "version": "final-20260921", "unit": { "price": "USD/bushel", "quantity": "bushels", "contract": "5000 bushels" }, "identity": "CME teaching illustration plus current corn contract identity; not an enterprise execution.", "defaults": { "procurement": { "quantity": 15000, "initial_futures": 5.75, "contracts_long": 3, "outcomes": [ { "futures": 6.25, "cash": 6.2, "futures_pnl": 7500, "effective_unit_price": 5.7 }, { "futures": 5.45, "cash": 5.45, "futures_pnl": -4500, "effective_unit_price": 5.75 }, { "futures": 6.03, "cash": 6.1, "futures_pnl": 4200, "effective_unit_price": 5.82 } ] }, "sales": { "quantity": 20000, "initial_futures": 5.7, "contracts_short": 4, "production_cost": 5.1, "outcomes": [ { "futures": 5.2, "cash": 5.05, "futures_pnl": 10000, "effective_unit_price": 5.55, "business_profit": 9000 }, { "futures": 5.9, "cash": 5.7, "futures_pnl": -4000, "effective_unit_price": 5.5, "business_profit": 8000 }, { "futures": 5.37, "cash": 5.1, "futures_pnl": 6600, "effective_unit_price": 5.43, "business_profit": 6600 } ] } }, "source_corrections": [ "printed p21: basis -0.25→-0.20 is +0.05, not +0.10", "printed p22: basis -0.25→-0.27 is -0.02, not a gain" ], "branch_boundaries": { "quantity_mismatch": "Show uncovered/excess futures exposure.", "quality_location": "Contract unit does not eliminate local basis." } }, { "id": "SIM-PJ-CORN-CASH-01", "owner": "P23", "consumers": [ "P23", "P24" ], "version": "final-20260921", "unit": { "money": "USD", "quantity": "bushels", "price": "USD/bushel" }, "identity": "Single shared corn procurement funding ledger for P23/P24.", "defaults": { "initial_own_cash": 106000, "unavailable_until_procurement": 90000, "current_liquid": 16000, "initial_margin_per_contract": 3000, "maintenance_per_contract": 2000, "futures_path": [ 5.75, 5.45, 5.1, 6.25 ], "procurement_quantity": 15000, "terminal_cash_price": 6.2 }, "default_results": { "three_contracts_no_credit": { "unfunded_gap_step2": 2750, "close_price": 5.1, "futures_pnl": -9750, "ending_own_cash": 3250, "effective_purchase_cost": 102750 }, "two_contracts": { "futures_pnl": 5000, "ending_own_cash": 18000, "effective_purchase_cost": 88000 }, "three_contracts_credit": { "limit": 3000, "draw": 2750, "interest": 7.534246575342481, "ending_own_cash": 20492.46575342465, "effective_purchase_cost": 85507.53424657535 }, "unhedged": { "ending_own_cash": 13000, "effective_purchase_cost": 93000 } }, "branch_boundaries": { "P23": "Stop ledger when deadline funding fails.", "P24": "Same ledger; later rebound is not earned after close.", "credit_2000": "Still short by 750 at step2." } }, { "id": "SIM-PJ-EUR-RECEIVABLE-01", "owner": "P24", "consumers": [ "P24" ], "version": "optional-final-20260921", "status": "optional_migration_branch", "unit": { "receivable": "EUR", "money": "USD", "price": "USD/EUR" }, "identity": "Optional FX migration exercise, not a disclosed corporate hedge.", "defaults": { "receivable_eur": 1000000, "contract_eur": 125000, "short_contracts": 8, "initial_spot": 1.1, "final_spot": 1.08, "futures_path": [ 1.105, 1.12, 1.115, 1.083 ] }, "default_results": { "hedge_net_pnl": 21968, "effective_receivable_usd": 1101968, "effective_rate": 1.101968, "initial_total_wealth": 1152000, "ending_total_wealth": 1153968, "unhedged_ending_total_wealth": 1132000 }, "branch_boundaries": { "mainline": false, "delivery": "Close before expiry; CME EUR/USD futures are physically deliverable." } } ], "operational_details": { "corn": { "initial_wealth": 106000, "restricted_until_purchase": 90000, "contract_size": 5000, "initial_margin": 3000, "maintenance_margin": 2000, "prices": [ 5.75, 5.45, 5.1, 6.25 ], "physical_quantity": 15000, "physical_price": 6.2, "loan_rate": 0.1, "loan_days": 10, "fees": 0, "close_rule": "If full call cannot be funded, close at the given teaching settlement before drawing a partial loan; no further futures position. Release remaining margin." }, "eur": { "receivable_eur": 1000000, "spot_initial": 1.1, "spot_final": 1.08, "futures": [ 1.105, 1.12, 1.115, 1.083 ], "contract_eur": 125000, "initial_cash": 52000, "initial_margin": 32000, "maintenance": 24000, "fee_each_side": 2, "close_before_expiry": true } }, "static_default_result": { "asof": 3, "effective_cost": 102750, "ending_cash": 3250, "shared_ledger_id": "SIM-PJ-CORN-CASH-01" }, "attachments": [ { "path": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/corn-cash-event-ledgers.csv", "branch": "core", "sha256": "9b778996982247177134a974e89d4099ff90b28187ff670a232607609d53e68f", "format": "csv", "public_access": "具名公开附件；与原稿字节一致。" }, { "path": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/eur-event-ledger.csv", "branch": "eur", "sha256": "bdc34b87d8070928d071969d34c7595f5e01f6ef2d98eea90521bfa3fb4d8e82", "format": "csv", "public_access": "具名公开附件；与原稿字节一致。" } ], "default_scope": "core", "branch_rule": "复制或学习只带本篇及所选分支需要的附件，完整大数组只在shared中保存一次。", "case_scopes": { "CME-GRAIN-TEACHING": "core", "SIM-PJ-CORN-CASH-01": "core", "SIM-PJ-EUR-RECEIVABLE-01": "eur" }, "operational_scopes": { "corn": "core", "eur": "eur" }, "frozen_inputs_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/final-shared-inputs.json", "reproduction_data_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/runtime-inputs.json" }, "source_id_aliases": { "PE-CME-MES": "MA-MES", "MP-CME-GRAIN": "MP-CME-GRAIN", "PI-CME-CORN": "PI-CME-CORN", "MP-CME-3Y": "MP-CME-3Y", "MP-CME-TREAS": "MP-CME-TREAS", "MD-S05": "MD-S05", "MD-S08": "MD-S08", "PE-FSB-MARGIN": "MA-FSB", "PI-CME-EUR": "PI-CME-EUR", "PI-MIT-CAPM03": "PI-MIT-CAPM03", "PI-MIT-CAPM08": "P-R04b", "PI-FRENCH-FACTORS": "PI-FRENCH-FACTORS", "QTDE-FRENCH": "QTC-FRENCH30", "QTDE-FRENCH-REGIME": "QTC-FRENCH", "PI-GIPS20": "P-R03", "MEFG-CHICAGOFED-2025": "PFH-CHIFED2025", "QTDE-TSCV": "QS02-5.10", "QGHI-MIT-BS13": "QGHI-MIT-BS13", "MD-S01": "MD-S01", "MOD-CRYPTO-CARRY": "MOD-CRYPTO-CARRY", "MOD-PERP-PAPER": "MOD-PERP-PAPER", "MOD-BYBIT-FUNDING": "MOD-BYBIT-FUNDING", "PI-BYBIT-FEE": "PI-BYBIT-FEE", "MOD-BYBIT-PNL": "MOD-BYBIT-PNL", "PI-CME-MBT": "PI-CME-MBT", "PI-CME-CRYPTO-FAQ": "PI-CME-CRYPTO-FAQ", "MOD-LVR": "MOD-LVR", "MOD-UNISWAP-V3": "MOD-UNISWAP-V3" } } ``` ## Supplied entry 复盘最容易变成两种互相对立、却同样无用的故事：赚钱就说判断正确，亏钱就说策略无效。真正有用的复盘应当让另一个人在不知道最终行情时，也能重建当时为什么持仓、能否履约、何时退出，以及结果究竟来自哪里。本篇沿用P23的玉米采购账，不再创造另一笔看起来更漂亮的交易。 ## 1. 先把原问题写在时间线左端 采购者预计未来购买15,000蒲式耳玉米，担心涨价。以5.75建立3张多头，对应数量15,000；自有资金106,000，其中90,000的存款直到采购日才可用，当前16,000。每张初始/维持要求3,000/2,000是教学约定。中途价格5.45、5.10，最后6.25；采购日当地现货价6.20。所有中途行情、账户限制和显示价格平仓的安排都是透明教学假设，不是历史企业交易。[^grain24] 原计划有两个不同理由。第一个理由是经济的：采购怕涨价，因此做多；第二个理由应该是操作的：16,000流动现金是否足够维持3张头寸。前者成立不能替后者签字。复盘应保留最初的采购量、可用资金与承诺额度，不因为后来价格反弹而把“当时一定能借到钱”补入旧计划。 可以在D0写一份简短承诺：保护哪批采购；何时结束；允许哪些基差；用哪些账户补款；到什么条件停止。如果目标变成“不再采购”或实际采购量下降，就要重新识别剩余期货的性质，而不是继续用“对冲”这个旧标签。 ## 2. 把每一个动作和余额接上 复盘表至少区分当时已知事实、应采取动作和实际动作。这里使用给定路径中可发生的教学动作： | 时点 | 此时刚知道什么 | VM | 应补/执行 | 期货余仓 | 可动自由现金 | |---|---|---:|---|---:|---:| | D0 | 采购量和初始资金 | 0 | 转入9,000初始保证金 | 3 | 7,000 | | 第一次结算 | 期货5.45 | −4,500 | 实际补4,500 | 3 | 2,500 | | 第二次结算 | 期货5.10 | −5,250 | 应补5,250但缺2,750；平仓返还3,750 | 0 | 6,250 | | 采购日 | 期货6.25、现货6.20、存款解锁 | 0 | 总现金96,250中付93,000买货 | 0 | 3,250 | 最后一行的期货VM为零，不是17,250，因为第二次结算后头寸已关闭。90,000解锁是自有资产从受限变可用，不是投资收入；9,000初始保证金和之后补款是账户内部转移，不是都要额外扣一次的费用。现金轨和损益轨必须能相互勾稽，否则很容易同时漏钱和重复扣钱。[^money24] 如果另一个人声称“最终有效采购价应该是5.70”，先问他的仓位能不能跨过第二次追保。5.70是完整持有3张到终点时的未计融资成本结果；它不是本条失败路径的结果。反事实可以讨论，但必须把融资条件一起改变，不能只把终点换过去。
复盘信息集：每个时点只允许使用此前已知的信息，关闭之后不再领取未来VM。

复盘沿当时信息推进

同P23唯一玉米账；结果不能反写交易前条件

  1. 初始计划

    未来采购15,000蒲式耳；多3张

    当前流动资金16,000，90,000尚受限

  2. 第1压力点

    期货5.45；变动现金−4,500

    补足后自由资金2,500

  3. 第2压力点

    期货5.10；应补5,250

    无授信，缺2,750 → 按教学价退出

  4. 采购日

    现货6.20；支付93,000

    期货已经关闭，不取得后段17,250反弹

## 3. 一张金额桥，分出五类解释 从采购日实物支出93,000出发，减去已实现期货结果−9,750，得到有效采购成本102,750。也可以从106,000自有资金减采购后3,250现金得到同一个数。两种算法应一致，且这里比较的是采购现金成本，不是把新取得的玉米资产当作全额亏损。 这9,750差额究竟告诉我们什么？**方向**仍与未来采购上涨风险相配；**市场路径**先跌后涨；**资金安排**无法持有到原终点；**成交假设**允许在5.10平仓；**结果**是在这一条路径里比不对冲的93,000成本更高。不能从最后一句跳回去说前四句全部错误，也不能因为方向合理就忽略资金缺陷。 若想衡量融资约束的影响，可以比较同一价格路径上的两个完整方案。无融资3张最终期货−9,750；有承诺额度并实际借2,750的3张最终期货+7,500，但需付7.534247利息。因此二者采购成本差额17,242.465753美元。它是“改变资金约束后，两套可执行路径的差”，不是一个可以独立归功于管理能力的收益率。
同一采购的金额归因：终点现货价相同，仓位是否延续改变了实际期货结果。

把方向、资金和终点拆开

实际教学关闭分支的有效采购成本

单位：美元；采购取得实物，现金支出不是全部财富损失

## 4. 怎样才是公平的替代比较？ 四个方案都从106,000自有现金、同一采购量与同一采购日开始：3张无融资、2张、3张加承诺融资、不对冲。2张方案成本88,000，留下三分之一数量未覆盖；承诺融资3张成本85,507.534247，增加了信用依赖；不对冲成本93,000，把共同价格风险保留下来。 因此，可复盘的不是“哪个终值最低”，而是：哪个安排在事前符合可接受的涨价风险、资金预算与融资条件。只有这一条事后路径，不足以估计未来平均成本或失败概率。若额外加入自有资金，它是外部流，比较回报时必须处理不同金额和时点；不能分子享受额外资金救活后的收益，分母却继续只用最初保证金。 FSB关于抵押品的建议提示我们，融资承诺还应具体到资格、折扣、账户、币种及到达时点。[^fsb24] 口头的“必要时融资”不是完整方案。另一方面，一次合理方案遇到不利结果，也不能自动证明原决策差；评价要回到当时的证据与可行集合。
实验的第一视图按时间揭示账本；第二视图显示金额归因。先选3张无额度，逐步推进而不要先看最终价。再切2张和3,000额度，说明自己改变了哪一个事前约束。若只想换一个更好看的终值，却不能指出对应的持仓和资金动作，那不是复盘。 ## 5. 选读迁移：欧元应收款也要等到收款日 再看一个独立变式，不替换玉米主账。企业未来收100万欧元，初始现汇1.10美元/欧元，准备以8张CME EUR/USD期货空头抵消部分美元换汇价值下降风险。每张125,000欧元是合约规格；本例期货路径1.105→1.120→1.115→1.083、最终现汇1.08、32,000初始和24,000维持保证金则是教学参数。期货在到期前平掉，不把本来实物交割的合约改称现金结算。[^eur24] 自有现金52,000，开仓费用16，转入保证金32,000，留下19,984。第一次期货上涨0.015，空头VM−15,000，需要补15,000，自由现金降为4,984；后两次VM为+5,000、+32,000，不再补款。累计VM22,000，双边费用32，净期货21,968。 收款后按1.08换得1,080,000，合并有效换汇所得1,101,968，折合1.101968美元/欧元，不等于最初期货1.105，因为终点现汇与期货相差−0.003，还扣了费用。总初始财富按应收初值1,100,000加现金52,000为1,152,000；最后1,153,968。不对冲且保留相同现金，最后则为1,132,000。 这笔有正结果的安排也曾先要补15,000。如果应收款延期或金额减少，旧期货数量和退出日期都需要重估。原币应收的账面价值不能保证美元保证金当日到账；两种币种的现金也不能不经换汇就相互抵消。 ## 6. 自测与解析 **解释题。** 3张玉米期货最终亏9,750，能否写“买入方向错了，应该卖出”？ 不能。原风险是未来采购涨价，买入方向与该风险相配。实际亏损路径反映先跌后的被迫退出。改成卖出会在采购价上涨时增加另一侧风险。应分别审查方向与资金计划；本例最明确的断裂是缺乏维持原规模所需的可达现金。 **迁移题。** 复盘者从106,000减去9,000初始保证金，再减9,750期货亏损和93,000采购，得到负5,750。哪里重复了？ 初始保证金只是内部转移，平仓返还的账户余额已包含在现金轨中。把它再次当损失扣除，重复扣了9,000。正确的期末现金为 $106,000-9,750-93,000=3,250$。逐日账与这一损益式应得同一结果。 **完成标准。** 读完之后，能否把某一项结果具体归入市场、仓位、成本、资金或外部流，并给出它发生的日期？不能指出日期与账户的“经验总结”，还不够可靠。 [^grain24]: CME Group，[Grain and Oilseed Hedgers Guide](https://www.cmegroup.com/trading/agricultural/files/grain-oilseed-hedgers-guide.pdf)，ch3采购与销售原例。主资金路径复用P23的同一教学账。 [^money24]: CME Group，[Money Calculations](https://www.cmegroup.com/clearing/files/CME-Money-Calculations-Futures-and-Options.pdf)，pp1–3；账户转移与期货价格损益分开。 [^fsb24]: FSB，[Liquidity Preparedness](https://www.fsb.org/uploads/P101224-1.pdf)，§3.3 Recommendations 6–8：抵押资格、运营能力和可用性。 [^eur24]: CME，[EUR/USD Futures，Chapter 261](https://www.cmegroup.com/rulebook/CME/III/250/261/261.pdf)，§26101–26102核心单位、报价、到期与实物交割规则；这里只采用到期前平仓分支。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P24-REVIEW", "node_id": "P24", "title": "一次衍生品安排的完整复盘", "anchor": "p24-comparison", "description": "按当时信息区分对冲方向、执行与资金计划，公平比较同一采购账的替代路径。", "inputs": { "frozen_ids": [ "CME-GRAIN-TEACHING", "SIM-PJ-CORN-CASH-01", "SIM-PJ-EUR-RECEIVABLE-01" ], "operational_keys": [ "corn", "eur" ], "units": "逐字段以shared/final-shared-inputs.json与operational-inputs.json为准" }, "outputs": { "default_location": "agent_packet.supplied_inputs.static_default_result" }, "algorithm": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/engine.js; P26 consumes QT24 outputs without rerunning simulation.", "views": [ "当时可知信息与仓位时间线", "原资产/衍生腿/资金的结果归因" ], "boundaries": [ "真实规格不等于当前保证金或成交", "不得从终点补造未提供的资金路径", "输入无效即停止，不能沿用旧结果" ], "static_equivalent": { "figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/figures/P24-a.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/figures/P24-b.svg" ], "body_tables": true, "event_data": [ { "path": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/corn-cash-event-ledgers.csv", "branch": "core", "sha256": "9b778996982247177134a974e89d4099ff90b28187ff670a232607609d53e68f", "format": "csv", "public_access": "随本ZIP及复制教学包提供的UTF-8附件；非内部盘符" }, { "path": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/eur-event-ledger.csv", "branch": "eur", "sha256": "bdc34b87d8070928d071969d34c7595f5e01f6ef2d98eea90521bfa3fb4d8e82", "format": "csv", "public_access": "随本ZIP及复制教学包提供的UTF-8附件；非内部盘符" } ] }, "input_controls": [ { "key": "branch", "label": "复盘安排", "type": "select", "default": "three", "options": [ { "value": "three", "label": "玉米3张无授信" }, { "value": "two", "label": "玉米2张" }, { "value": "loan", "label": "玉米3张＋承诺授信" }, { "value": "none", "label": "玉米不对冲" }, { "value": "eur", "label": "选读：EUR应收" } ] }, { "key": "step", "label": "截至哪个时点", "type": "selectnum", "default": 3, "options": [ { "value": 3, "label": "终点" }, { "value": 0, "label": "初始" }, { "value": 1, "label": "第1压力点" }, { "value": 2, "label": "第2压力点" } ] } ], "input_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/final-shared-inputs.json" } ] ``` ## Sources - [Liquidity Preparedness for Margin and Collateral Calls — Final Report](https://www.fsb.org/uploads/P101224-1.pdf): 政策研究中的流动性压力分析；未读全报告，不作因果估计或约束性规则。 P-E 使用范围：Recommendations6–8的资源可用性、haircut、币种/地点/截止与操作准备；不是零售统一账户规则。 本批读取范围：抵押品资格、占用、haircut、币种、地点与及时到账。 - [Money Calculations for CME-cleared Futures and Options](https://www.cmegroup.com/clearing/files/CME-Money-Calculations-Futures-and-Options.pdf): 当日成交与期初头寸的结算现金及正常舍入；不采用无关分数报价例的印刷错误，不提供CL保证金水平。 本批读取范围：逐日价格变动、乘数、现金与结算口径。 - [Self-Study Guide to Hedging with Grain and Oilseed Futures and Options](https://www.cmegroup.com/trading/agricultural/files/grain-oilseed-hedgers-guide.pdf): 采购与销售方向、价量原例及当地基差。 - [GIPS Standards Handbook for Firms](https://www.gipsstandards.org/standards/gips-standards-for-firms/gips-standards-handbook-for-firms/): GIPS Standards Handbook for Firms 本批读取范围：外部现金流、TWR/MWR、净费用方法和费用应计/付款。 - [CME Rulebook Chapter261: EUR/USD Futures](https://www.cmegroup.com/rulebook/CME/III/250/261/261.pdf): 125,000欧元、报价单位与到期前平仓的合约背景。 ## Content relations ```json [ { "from": "zh-p24", "relation": "part_of", "to": "portfolio-implementation", "reason": "主要 topic 归属" }, { "from": "zh-p24", "relation": "requires", "to": "zh-p23", "required_competence": "能够逐行重放同一玉米资金账。", "reason": "这项能力进入本篇主任务，而非推荐阅读顺序。" }, { "from": "zh-p24", "relation": "uses_method", "to": "zh-p09", "reason": "调用局部概念；本篇同时给出完成算例所需的最小说明。" }, { "from": "zh-p24", "relation": "uses_method", "to": "zh-p12", "reason": "调用局部概念；本篇同时给出完成算例所需的最小说明。" }, { "from": "zh-p24", "relation": "illustrated_by", "to": "p21-procurement", "reason": "同一冻结对象和明确身份的算例。" }, { "from": "zh-p24", "relation": "illustrated_by", "to": "p23-setup", "reason": "同一冻结对象和明确身份的算例。" }, { "from": "zh-p24", "relation": "illustrated_by", "to": "p24-fx", "reason": "同一冻结对象和明确身份的算例。" }, { "from": "p24-original", "relation": "supported_by", "to": "MP-CME-GRAIN", "reason": "采购与销售方向、价量原例及当地基差。", "locator": "ch2 printed pp9–14 / PDF pp11–16；ch3 printed pp17–22 / PDF pp19–24；margin pp6–7", "scope": "采购与销售方向、价量原例及当地基差。" }, { "from": "p24-events", "relation": "supported_by", "to": "MD-S05", "reason": "逐日价格变动、乘数、现金与结算口径。", "locator": "pp1–3普通期货变动现金完整单元", "scope": "逐日价格变动、乘数、现金与结算口径。" }, { "from": "p24-comparison", "relation": "supported_by", "to": "MA-FSB", "reason": "抵押品资格、占用、haircut、币种、地点与及时到账。", "locator": "§3.3 printed pp18–20 / PDF pp22–24，Recommendations6–8", "scope": "抵押品资格、占用、haircut、币种、地点与及时到账。" }, { "from": "p24-fx", "relation": "supported_by", "to": "PI-CME-EUR", "reason": "125,000欧元、报价单位与到期前平仓的合约背景。", "locator": "§26101–26102，常规合约与实物交割", "scope": "125,000欧元、报价单位与到期前平仓的合约背景。", "branch": "eur" }, { "from": "p24-attribution", "relation": "supported_by", "to": "P-R03", "reason": "外部现金流、TWR/MWR、净费用方法和费用应计/付款。", "locator": "1.A.35；2.A.23–24；2.A.29；2.A.30；2.B.4", "scope": "外部现金流、TWR/MWR、净费用方法和费用应计/付款。", "branch": "evaluation" }, { "from": "p24-comparison", "relation": "illustrated_by", "to": "EXP-P24-REVIEW", "reason": "按当时信息区分对冲方向、执行与资金计划，公平比较同一采购账的替代路径。" } ] ``` ## Related entries