First, your problem seems wrong:

Normarlly, 公司A在2006年7月1日时，买10000吨的煤油作为库存, to hedge the downside price risk, it should sell 煤油的期货. In your case, it should sell 燃油期货合约 which expiration date is 2007年7月1日.
 

Anyway, the steps to solve such problem are:

1) Transfer 吨 to gallon

    10000吨 =  10,000,000升 = 2,641,720 gallon

2) Get the correlation between 煤油 price change and 燃油 price change, that is ,  how much 煤油的期货 if 煤油 price change.

ρ煤油, 燃油=协方差/ 方差(煤油 )方差(燃油) = 0.9 /  方差(煤油 )方差(燃油)   ( Note: you need to know the 方差 value)

3) Calculate how many contract needed:

 # of 煤油的期货 =  (2,641,720 gallon / 21,000 gallon ) X ρ煤油, 燃油 = 125.79 X ρ煤油, 燃油

That's all you need to know. Hope it will help you -:)
 

[此贴子已经被作者于2009-2-24 11:46:32编辑过]