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Helen 🎈 · 2023年04月05日

这道题怎么理解呢。。。。。。

  1. CFA I
  2. Derivative

NO.PZ2018062007000020

问题如下：

The description “the forward price equals to the value of the contract at initiation” is

选项：

A.

correct

B.

Incorrect, because the relationship is undetermined.

C.

Incorrect, because the forward price is greater than the value of the contract at initiation

解释：

C is correct.

At initiation, the forward price is agreed and is a positive-fixed amount. While the value of a forward contract is zero. Therefore, the forward price is greater than the value of the contract at initiation.

forward合约在期初的value是0，买卖双方义务对等。

谢谢老师。。。。。。。。

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1 个答案

Lucky_品职助教 · 2023年04月09日

嗨，努力学习的PZer你好：


forward合约在期初是定价price，合约中是估值value，合约结束是settlement

期初买卖双方权利义务对等，因此value是0，不像期权，买方买了个权利，买卖双方的权利义务不对等。

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