The theoretical price can be deduced from the definition of basis difference. According to the definition of basis, basis = spot price-futures price, that is, basis = (spot price-theoretical futures price)-(theoretical futures price). The former part can be called theoretical basis, which mainly comes from holding cost (regardless of transaction cost, etc.). ); The latter part can be called value basis, which mainly comes from investors' overestimation or underestimation of stock index futures prices. Therefore, in general, the theoretical basis must exist before the expiration of the contract, but the value basis does not necessarily exist; In fact, in the case of market equilibrium, the value base is zero.

The so-called holding cost refers to the net cost that investors must pay from holding spot assets to the expiration date of futures contracts, that is, the financing cost paid by financing the purchase of spot assets MINUS the income from holding spot assets. F stands for the theoretical price of stock index futures, S stands for the market price of spot assets, R stands for the annual interest rate of financing, Y stands for the annual rate of return from holding spot assets, and△ T stands for the number of days before the contract expires. In the case of simple interest, the theoretical price of stock index futures can be expressed as:

F=S*[ 1+(r-y)*△t /360]

Give examples. Assume that the current Shanghai and Shenzhen 300 (2447.6 15, 4. 10, 0. 17%, right) stock index is 1800 points, the one-year financing rate is 5%, and the annual yield of holding spot is 2%. The number of days from the expiration date of the stock index futures contract with the Shanghai and Shenzhen 300 Index as the target is 90 days.

Answer: Looking for flowers in the market.