NO.PZ2021061002000063
问题如下：
A client owns 1,000 commonnon-dividend-paying shares of K company, at a spot price of AUD124 per share.The client enters into a forward commitment to sell all the position in threemonths at a price of AUD 128.4.
Which of the following market events ismost likely to result in the greatest loss in the forward contract MTM valuefrom the client’s perspective?
选项：
A.
The rise in the risk-free interestrate.
B.
A fall in the risk-free interest rate.
C.
An immediate decline in the K stock spot pricefollowing contract inception.
解释：
For a short forward position, the mark-to-market (MTM) value is given by the formula: MTM value = F0(T)/(1+r)^T-t - St
From this formula, we can see that an increase in the risk-free rate will cause the MTM value to decrease, resulting in a loss. Therefore, option A is correct.
On the other hand, a decrease in the stock price, as well as a decrease in the risk-free rate, will cause the MTM value to increase.
中文解析：
根据题干可知，客户想要通过远期合约在3个月后减少持有的股票头寸，因此他应该进入的是short forward头寸。
Short forward头寸下，MTM value = F0(T)/(1+r)^T-t - St
由上式可以看到：无风险利率上涨会使得MTM value下降，也就是会产生loss。因此选A。
而股票价格下跌，以及无风险利率的下跌会使得MTM value增加。
有点忘记这个概念了，麻烦解释下
