frr0717
2018-02-23 16:01Comment 2: There is a difference between the pricing and the valuation of forward commitments. Pricing involves determining the appropriate forward commitment price or rate, typically after it has been initiated. Valuation involves determining the appropriate rate of the forward commitment when initiating the contract. 解答， B is correct. Characteristic 2 is incorrect. The conversion factor in a futures contract does not apply to accrued interest. It is a mathematical adjustment to the amount required when settling a futures contract that is supposed to make all eligible bonds equal the same amount—for example, adjust each bond to an equivalent 6% coupon bond. When multiple bonds can be delivered for a particular maturity of a futures contract, a cheapest-to-deliver bond typically emerges after adjusting for the conversion factor. 麻煩老師解釋下，謝謝！
所屬：CFA Level II > Derivatives 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Vito Chen助教
2018-02-23 17:12
該回答已被題主采納
同學(xué)，你好。你貼出來的comment 2和后面的解答是兩碼事情。
前面的comment 2說的是forward commitment產(chǎn)品中pricing和valuation的區(qū)別。pricing是定價，定的是合約到期日的交割價格；而valuation的描述是錯誤的，valuation是估值，指的是在合約的存續(xù)期內(nèi)對于long position或者short position的價值是正還是負。
后面解答部分解釋的是關(guān)于國債期貨里的CF的概念。CF是在可交割債券的quoted price（clean price，剔除應(yīng)計利息的影響的價格）后面乘以1/CF來計算國債期貨中的那個標(biāo)準(zhǔn)國債的FP。
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