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临江仙 · 2020年08月30日

问一道题:NO.PZ2020021204000028

问题如下:

Give two reasons for differences between a Eurodollar futures rate and the corresponding forward rate in an FRA.

选项:

解释:

The futures contract is settled daily, and final settlement is at the beginning of the period covered by the interest rate, not at the end.

final settlement is at the beginning of the period covered by the interest rate, not at the end

我理解 欧洲美元期货是在T时刻结算,难道错了?

1 个答案
已采纳答案

品职答疑小助手雍 · 2020年08月31日

嗨,努力学习的PZer你好:


就是在标的的利率cover的时间段的期初结算的啊~


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虽然现在很辛苦,但努力过的感觉真的很好,加油!