{
  "kind": "hypothetical teaching examples; not market data or a backtest",
  "units": {
    "money": "CNY",
    "price": "CNY/tonne",
    "quantity": "tonnes"
  },
  "cash_and_carry": {
    "quantity": 10,
    "spot_entry": 2000,
    "futures_entry": 2060,
    "locked_gross_delivery_spread": 600,
    "assumed_complete_carrying_cost": 300.0,
    "assumed_delivery_net_profit": 300.0,
    "initial_futures_account_cash": 3060,
    "initial_required_margin": 2060,
    "initial_cash_buffer": 1000,
    "margin_rate": 0.1,
    "interim_path": [
      {
        "step": 0,
        "spot_price": 2000,
        "futures_settlement": 2060,
        "spot_unrealized_pnl": 0,
        "futures_cumulative_pnl": 0,
        "interim_combined_price_pnl": 0,
        "futures_account_equity": 3060,
        "required_margin": 2060,
        "available_funds": 1000
      },
      {
        "step": 1,
        "spot_price": 2070,
        "futures_settlement": 2130,
        "spot_unrealized_pnl": 700,
        "futures_cumulative_pnl": -700,
        "interim_combined_price_pnl": 0,
        "futures_account_equity": 2360,
        "required_margin": 2130,
        "available_funds": 230
      },
      {
        "step": 2,
        "spot_price": 2140,
        "futures_settlement": 2200,
        "spot_unrealized_pnl": 1400,
        "futures_cumulative_pnl": -1400,
        "interim_combined_price_pnl": 0,
        "futures_account_equity": 1660,
        "required_margin": 2200,
        "available_funds": -540
      }
    ],
    "shortfall_before_a_deposit_or_forced_close": 540,
    "basis_exits": {
      "entry_basis_spot_minus_futures": -60,
      "scenarios": [
        {
          "spot_exit": 2100,
          "futures_exit": 2100,
          "exit_basis_spot_minus_futures": 0,
          "spot_pnl": 1000,
          "futures_pnl": -400,
          "gross_pnl": 600,
          "illustrative_fixed_cost": 300.0,
          "net_pnl": 300.0
        },
        {
          "spot_exit": 2080,
          "futures_exit": 2100,
          "exit_basis_spot_minus_futures": -20,
          "spot_pnl": 800,
          "futures_pnl": -400,
          "gross_pnl": 400,
          "illustrative_fixed_cost": 300.0,
          "net_pnl": 100.0
        },
        {
          "spot_exit": 2050,
          "futures_exit": 2100,
          "exit_basis_spot_minus_futures": -50,
          "spot_pnl": 500,
          "futures_pnl": -400,
          "gross_pnl": 100,
          "illustrative_fixed_cost": 300.0,
          "net_pnl": -200.0
        }
      ],
      "notes": [
        "Cost is held at 300 only to isolate exit-basis sensitivity; this is not an early-exit cost estimate.",
        "An actual early exit must recalculate holding days, financing, storage, spot liquidation and trading costs.",
        "These three marks are constructed scenarios, not forecasts or probabilities."
      ]
    },
    "cost_breakdown": {
      "holding_days": 60,
      "day_count_basis": 365,
      "annual_simple_financing_rate": 0.0365,
      "spot_purchase_capital": 20000,
      "futures_and_reserve_capital": 5000,
      "total_funded_capital": 25000,
      "spot_financing_cost": 120.0,
      "futures_and_reserve_financing_cost": 30.0,
      "total_financing_cost": 150.0,
      "storage_per_tonne_per_day": 0.15,
      "storage_cost": 90.0,
      "other_complete_costs": 60,
      "additional_net_tax_cost": 0,
      "total_cost": 300.0,
      "cost_per_tonne": 30.0,
      "delivery_break_even_futures_price": 2030.0,
      "notes": [
        "All capital is assumed borrowed for the full 60 days; idle reserve earns no interest.",
        "Other costs are an assumed complete allowance for applicable insurance, logistics, execution and delivery.",
        "Spot and futures use a consistent tax basis, with no additional net tax cost in this constructed example.",
        "All expenses including financing are assumed payable at the end to make the ledger explicit."
      ]
    },
    "funding_ledger": {
      "initial_borrowed_capital": 25000,
      "initial_spot_purchase": 20000,
      "initial_futures_account_cash": 3060,
      "initial_external_reserve": 1940,
      "transfer_from_reserve_to_account": 540,
      "account_equity_after_top_up": 2200,
      "remaining_external_reserve": 1400,
      "assumed_delivery_price": 2100,
      "physical_delivery_proceeds": 21000,
      "final_futures_cumulative_pnl": -400,
      "futures_account_cash_released": 3200,
      "total_cash_before_costs": 25600,
      "total_costs_paid_at_end": 300.0,
      "cash_after_costs": 25300.0,
      "loan_principal_repaid": 25000,
      "net_cash_after_repayment": 300.0,
      "net_profit_over_capital_committed_for_60_days": 0.012,
      "notes": [
        "The top-up is an internal cash transfer, not an additional expense or fresh borrowing.",
        "The remaining 5000 allocation is sufficient only for this stated settlement path, not a worst-case funding ceiling.",
        "Profit divided by total committed capital is a 60-day ratio, not ROE or a compounded annual return.",
        "Delivery settlement accounting is summarized by physical proceeds plus cumulative futures P&L; broker details may differ."
      ]
    },
    "notes": [
      "Interim marks hold futures minus spot at 60; they do not model expiry convergence.",
      "Interim combined price P&L of zero excludes the initially locked gross delivery spread of 600.",
      "Futures account values omit fees, interest, deposits and withdrawals.",
      "Negative available funds shows a hypothetical shortfall before a deposit or forced close.",
      "Unrealized spot gains cannot automatically fund the futures account."
    ]
  },
  "calendar_spread": {
    "quantity_each_leg": 10,
    "position": "long near month, short far month",
    "entry": {
      "near": 4000,
      "far": 4100,
      "far_minus_near": 100
    },
    "exit": {
      "near": 4050,
      "far": 4110,
      "far_minus_near": 60
    },
    "near_leg_pnl": 500,
    "far_leg_pnl": -100,
    "gross_pnl": 400,
    "assumed_total_trading_cost": 40,
    "net_pnl": 360,
    "carry_reference": {
      "delivery_gap_days": 30,
      "annual_simple_financing_rate": 0.0365,
      "financing_per_tonne": 12.0,
      "storage_per_tonne_per_day": 0.8,
      "storage_per_tonne": 24.0,
      "other_verified_costs_per_tonne": 4,
      "base_carry_per_tonne": 40.0,
      "stress_carry_per_tonne": 60.0,
      "round_trip_trading_cost_per_tonne": 4.0,
      "break_even_exit_spread": 96.0,
      "notes": [
        "The 40 and 60 carry values are cost scenarios, not guaranteed future spreads or a no-arbitrage interval.",
        "A physical carry route requires eligible delivery, funding, storage and matched specifications.",
        "Pure futures legs have no assured convergence between different delivery months.",
        "The assumed cost reference does not include the separate 4 per tonne two-leg trading cost."
      ]
    },
    "exit_scenarios": [
      {
        "exit_far_minus_near": 40,
        "gross_pnl": 600,
        "net_pnl": 560
      },
      {
        "exit_far_minus_near": 60,
        "gross_pnl": 400,
        "net_pnl": 360
      },
      {
        "exit_far_minus_near": 100,
        "gross_pnl": 0,
        "net_pnl": -40
      },
      {
        "exit_far_minus_near": 160,
        "gross_pnl": -600,
        "net_pnl": -640
      }
    ],
    "notes": [
      "Only entry and exit observations are given; connecting lines are schematic."
    ]
  },
  "statistical_spread": {
    "kind": "constructed example with assumed past-window parameters; not a fitted backtest",
    "residual_definition": "X = A - beta * B; uncentered modeled spread, not the intercept-adjusted regression residual",
    "position": "short A, long B",
    "parameters_frozen_before_entry": {
      "beta": 0.8,
      "mean": 60,
      "standard_deviation": 20,
      "ar1_phi": 0.9
    },
    "entry": {
      "a": 4100,
      "b": 5000,
      "residual": 100.0,
      "z": 2.0
    },
    "positions": {
      "a_multiplier": 10,
      "b_multiplier": 5,
      "a_short_lots": 5,
      "b_long_lots": 8,
      "a_price_pnl_coefficient": -50,
      "b_price_pnl_coefficient": 40,
      "short_residual_exposure": 50
    },
    "half_life_in_bars": 6.578813478960585,
    "conditional_mean_at_half_life": 80.0,
    "scenarios": [
      {
        "a_exit": 4150,
        "b_exit": 5100,
        "exit_residual": 70.0,
        "exit_z": 0.5,
        "short_a_pnl": -2500,
        "long_b_pnl": 4000,
        "gross_pnl": 1500,
        "assumed_total_trading_cost": 200,
        "net_pnl": 1300
      },
      {
        "a_exit": 4140,
        "b_exit": 5000,
        "exit_residual": 140.0,
        "exit_z": 4.0,
        "short_a_pnl": -2000,
        "long_b_pnl": 0,
        "gross_pnl": -2000,
        "assumed_total_trading_cost": 200,
        "net_pnl": -2200
      }
    ],
    "break_even_exit_residual": 96.0,
    "notes": [
      "Beta, mean, standard deviation and phi are assumed, not estimated from real prices.",
      "A and B prices and contract multipliers use compatible quote and payoff units.",
      "A fractional half-life interpolates the conditional mean; it is not a realized exit time or a guarantee.",
      "Trading costs cover both legs and both entry and exit; funding and margin stress require separate evaluation.",
      "Parameters must be estimated using only past observations, then frozen or updated under a declared out-of-sample rule."
    ]
  }
}