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大瓶子 · 2023年09月09日

现金交割时，合约到期日是以现金支付合约的价差，C不对呀

  1. CFA I
  2. Derivative

NO.PZ2023040401000013

问题如下：

Which of the following statements regarding the settlement of forward contracts is correct?

选项：

A.

Contract settlement by cash has different economic effects from those of a settlement by delivery.

B.

Non-deliverable forwards and contracts for differences have distinct settlement procedures.

C.

At cash settlement, when the long party acquires the asset in the market, it effectively pays the forward price.

解释：

C is correct. In the case of cash settlement, the long can acquire the asset, effectively paying the forward price, F0(T).

A is incorrect because forward contracts settled by cash or by delivery have the same economic effect.

B is incorrect because both non-deliverable forwards and contracts for differences can settle by an exchange of cash.

C是说现金交割时，支付远期合约。而实际上是要支付合约的价差，所以C不对吧。

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1 个答案

pzqa35 · 2023年09月11日

嗨，努力学习的PZer你好：


现金交割的原理就是说我到期的时候根据合约规定的价格和我的underlying的市场价格来比较，结算差价。举个例子比如我在0时刻和小卖铺的老板签订了一个未来1年后以3块钱价格买水的一个合约，1年后交割的时候假设水涨价到了4块钱，那么老板就得给我1块钱的差价。那么这个相当于就是我在市场上买了一瓶水花了4块钱，同时我收到了老板补给我的价差1块钱，最终产生的效果就是其实我买这瓶水只需要3块钱。所以C选项就是说如果long方要在市场上买对应的资产，那么实质上他花的钱还是FP的价格，就是我买水最终还是支付了3块钱的一个效果。

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