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lanlanlanlan · 2023年07月29日

forward合约在期初的value是0，买卖双方义务对等。

  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。

那为什么A错了呢， forward price 不就是等于在期初的时候的value 吗

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1 个答案

Lucky_品职助教 · 2023年07月31日

嗨，从没放弃的小努力你好：


在期初，合约的价值确实为零，因为在这个时候双方的义务相互抵消。但是，forward价格并不等于合约的价值。

forward价格是在合约初始阶段双方协商达成的，并且是一个固定的正金额。它取决于多个因素，如标的物价格、利率和期限等。

forward合约在期初是定价price，合约中是估值value，合约结束是settlement

期初买卖双方权利义务对等，因此value是0，不像期权，买方买了个权利，买卖双方的权利义务不对等。

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