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飞不动的小仙女 · 2022年05月24日

角度是再投资收益,交易所每日结算的资金在账户中是能够产生利息么?

NO.PZ2016031201000028

问题如下:

When interest rates are constant, futures prices are most likely:

选项:

A.

less than forward prices.

B.

equal to forward prices.

C.

greater than forward prices.

解释:

B is correct.

When interest rates are constant, forwards and futures will likely have the same prices. The price differential will vary with the volatility of interest rates. In addition, if futures prices and interest rates are uncorrelated, forward and futures prices will be the same. If futures prices are positively correlated with interest rates, futures contracts are more desirable to holders of long positions than are forwards. This is because rising prices lead to future profits that are reinvested in periods of rising interest rates, and falling prices lead to losses that occur in periods of falling interest rates. If futures prices are negatively correlated with interest rates, futures contracts are less desirable to holders of long positions than are forwards. The more desirable contract will tend to have the higher price.

中文解析:

这里比较的是futures和forward在哪种情况下价格会不一样, 它们的定价公式 其实是一样的,唯一不同的是futures是每日结算。

思考的角度是比较再投资收益的高低,因为futures是每日盯市,每日都会有现金的流入和流出,如果提前拿到现金流,且利率上升,就说明再投资收益上升,此时投资者更希望用futures合约,所以futures就会比forward贵。所以价格上升,long方有收益,即有现金流入,若利率下降,再投资收益下降,投资者就不想提前获得现金流,futures就比forward便宜;若利率保持不变,则forward和futures二者价格相同。

解释是考虑futures和forward的再投资收益,所以是保证金账户里的钱是有收益的么?

1 个答案

Lucky_品职助教 · 2022年05月25日

嗨,爱思考的PZer你好:


是的,现实中每季度21号结息,观察一下,你的银行余额也是每季度结息哦

这里的再投资是指期货每日结算盈亏,如果盈利了,第二天可以把盈利资金再次进行投资,也就是产生了再投资收益,但远期只能在到期结算

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2016031201000028问题如下When interest rates are constant, futures prices are most likely:A.less thforwarprices.B.equto forwarprices.C.greater thforwarprices. B is correct.When interest rates are constant, forwar anfutures will likely have the same prices. The prifferentiwill vary with the volatility of interest rates. In aition, if futures prices aninterest rates are uncorrelate forwaranfutures prices will the same. If futures prices are positively correlatewith interest rates, futures contracts are more sirable to holrs of long positions thare forwar. This is because rising prices leto future profits thare reinvestein perio of rising interest rates, anfalling prices leto losses thoccur in perio of falling interest rates. If futures prices are negatively correlatewith interest rates, futures contracts are less sirable to holrs of long positions thare forwar. The more sirable contrawill tento have the higher price. 中文解析这里比较的是futures和forwar哪种情况下价格会不一样, 它们的定价公式 其实是一样的,唯一不同的是futures是每日结算。思考的角度是比较再投资收益的高低,因为futures是每日盯市,每日都会有现金的流入和流出,如果提前拿到现金流,且利率上升,就说明再投资收益上升,此时投资者更希望用futures合约,所以futures就会比forwar。所以价格上升,long方有收益,即有现金流入,若利率下降,再投资收益下降,投资者就不想提前获得现金流,futures就比forwar宜;若利率保持不变,则forwarfutures二者价格相同。 可是就算买forwar拿到现金流也并没有什么额外收入啊,就算利率和价格负相关,拿出来不也比不拿好吗?

2023-05-14 06:04 1 · 回答

利率是常数时,早拿到钱不还是能获得投资收益吗,不应该期货价格高于远期合约价格吗

2019-11-12 11:13 2 · 回答

,在利率一致的情况下,期货是标准化合约接受程度和认可度更高,价格应当高于远期合约,不是吗?

2018-10-01 13:59 1 · 回答

利率连续为什么就影响期货价格?那对于远期合约呢?课上没有讲这个吧

2018-09-09 11:58 1 · 回答