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Yvonne0719 · 2024年10月03日

请问老师是这样理解吗?价格和利率反向变动,价格升高利率就低了,低了之后futures再投资收到的钱就少了,所以还是forward

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问题如下:

To the holder of a long position, it is more desirable to own a forward contract than a futures contract when interest rates and futures prices are:

选项:

A.

negatively correlated.

B.

uncorrelated.

C.

positively correlated.

解释:

A is correct. If futures prices and interest rates are negatively correlated, forwards are more desirable to holders of long positions than are futures. This is because rising prices lead to futures profits that are reinvested in periods of falling interest rates. It is better to receive all of the cash at expiration under such conditions. 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.

请问老师是这样理解吗?价格和利率反向变动,价格升高利率就低了,低了之后futures再投资收到的钱就少了,所以还是forward好一些?感觉这个题很绕啊

1 个答案
已采纳答案

李坏_品职助教 · 2024年10月04日

嗨,从没放弃的小努力你好:


是这样的。如果是负相关,那么期货的盈利只能用更低的利率取出来去再投资,反倒不如远期合约一直把钱放在账户里吃存款利息更划算。

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