NO.PZ2018062007000028
问题如下:
Which of the following factors contributes to the difference between futures prices and forward prices?
选项:
A.
futures are regulated by clearing house
B.
futures price and interest rate are correlated.
C.
futures price and interest rate are uncorrelated.
解释:
B is correct.
Forward and futuers prices are different if futures price and interest rate are correlated. If they are positively correlated, futures price will be higher than forwards. If they are negatively correlated, futures price wil be lower than forward.
中文解析:
题干问的是导致远期和期货价格不同的原因,A错。
远期和期货价格有差别的原因是:远期在到期时才进行结算获得全部收益;而期货每日结算,可以提前得到收益,就有了再投资的机会。比如期货价格和利率相关且呈正相关,则期货将获得更多的再投资收益,因为再投资收益较高,也就导致了期货和远期价格的不同。
forward 和 interest rate并不是负相关的关系么