这个题干逻辑上说不通吧,利率怎么能跟期货反相关呢?利率上升,期货应该更值钱,这不是正相关么?谢谢老师
问题如下图:
选项:
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解释:
NO.PZ2018062007000030问题如下When interest rates anfutures prices are negatively correlate futures prices will be:A.lower thforwar.B.the same forwarC.higher thforwar. A is correct.If futures prices aninterest rates are negatively correlate the futures prices increase interest rates crease, whileto long position receives cash earlier anreinvests it lower rate. Unr this situation, investors prefer forwarcontracts because all profits are receivethe enof contract, therefore forwarpriis higher.当期货合约价格与利率负相关时,其每日结算出的收益通过再投资获得的收益要小于远期,因而期货价格会略低。 这道题没有特别说明头寸,是不是默认long
NO.PZ2018062007000030 问题如下 When interest rates anfutures prices are negatively correlate futures prices will be: A.lower thforwar. B.the same forwar C.higher thforwar. A is correct.If futures prices aninterest rates are negatively correlate the futures prices increase interest rates crease, whileto long position receives cash earlier anreinvests it lower rate. Unr this situation, investors prefer forwarcontracts because all profits are receivethe enof contract, therefore forwarpriis higher.当期货合约价格与利率负相关时,其每日结算出的收益通过再投资获得的收益要小于远期,因而期货价格会略低。 听完课的瞬时记忆,负相关是利率下跌了,正相关是利率上涨,两者影响了再投资利率,所以能做对。但如果忘了,根据题目去想利率和期货价格的相关关系,可能就不理解了。 因为根据前面结论,再投资利率和期货价格一直是正向关系哦。
老师,能不能麻烦下这道题,为什么利率会导致yuanqi远期合约和期货不同呢?