pl.py

Created by juliette-1

Created on June 23, 2025

619 Bytes

p&L = N*q*(Ffinal - Finitial)
•  N = nombre de contrats
•  q = taille d’un contrat (ex : 1 000 barils)
•  Ffinal  = prix des futures à la clôture
•  Finitial  = prix des futures quand tu as pris la position

Formule basis :
basis=spot−futures 
Au départ : basis0=75−75.50=−0.50 
Après 3 mois : basis1=82−82.80=−0.80 
Le basis est passé de -0.50 à -0.80 → le basis a baissé 
(il est devenu plus négatif) = Évolution négative du basis : cela a un effet négatif sur le hedge car le spot a monté plus vite que le futures.

Prix effectif par barrel =
Sfinal – P/L / Q 
Q = quantité totale à couvrir

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