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苏·Xu · 2023年06月05日

衍生品

  1. CFA I
  2. Derivative

NO.PZ2018062007000020

问题如下：

The description “the forward price equals to the value of the contract at initiation” is

选项：

A.

correct

B.

Incorrect, because the relationship is undetermined.

C.

Incorrect, because the forward price is greater than the value of the contract at initiation

解释：

C is correct.

At initiation, the forward price is agreed and is a positive-fixed amount. While the value of a forward contract is zero. Therefore, the forward price is greater than the value of the contract at initiation.

forward合约在期初的value是0，买卖双方义务对等。

期初买卖双方权利义务对等，为什么value是0呢？

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2 个答案

Lucky_品职助教 · 2023年06月06日

嗨，从没放弃的小努力你好：


我们在0时刻pricing定价，定的是到期时forward合约交割的价格，此时合约value是0，对于买卖双方是平等的；

在t时刻valuation估值，因为市场价格一直在变动，我们在合约期间，可以预估一下合约是赚是亏；

在T时刻settlement结算，按照0时刻约定的交割价格，与市场价格做对比，得出最终的盈亏。

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努力的时光都是限量版，加油！

学习王 · 2023年06月05日

对等说明你不欠我我不欠你，这个合同的value不就是0吗。随着时间流逝，underlying价格会变化，forward contract 就有value了

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