水同學
2024-03-02 07:09衍生Q23，
Comment 1 If you are long a futures or forward contract and the price of the underlying has risen, the value of a futures contract is most likely lower than that of the equivalent forward contract. 老師這個說法不對呀，在long position中用該說higher，掙錢啊，請老師講解一下，謝謝
所屬：CFA Level II > Derivatives 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Evian, CFA助教
2024-03-05 11:53
該回答已被題主采納
ヾ(?°?°?)??你好同學，
Fourie is discussing forward contracts with Patrick Jacob, a new risk analyst at Global Bullion. Jacob is asking about similarities and differences between forward and futures contracts. Fourie makes the following comments to Jacob:
Comment 1 If you are long a futures or forward contract and the price of the underlying has risen, the value of a futures contract is most likely lower than that of the equivalent forward contract.
Comment 2 Forward contracts are marked to market each day, whereas futures contracts are not.
Comment 3 The market value of both futures and forward contracts at initia-tion is zero.
Which of Fourie’s comments to Jacob is least likely accurate?
A.Comment 1
B.Comment 2
C.Comment 3
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追答
Fourie’s second comment to Jacob regarding marking to market is incorrect. Futures contracts are marked to market each day, whereas forward contracts are not. Comments 1 and 3 are accurate.
期貨合約的價值已經體現在了保證金賬戶，而合約的價值會在每次逐日盯市之后變?yōu)?；
由于遠期合約不會逐日盯市，于是遠期合約的價值是一個大于0的數值；
綜上，期貨合約的價值為0，遠期合約的價值大于0，于是后者價值更大。
A is incorrect. Fourie’s first comment is accurate. Because futures contracts are marked to market daily, profits are paid out and the value is reset to zero. As a result if you are long a contract and the price has risen, the forward contract will likely have a higher value than the futures contract.
C is incorrect. Fourie’s last comment is accurate. The market value of both futures and forward contracts at initiation is zero.
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