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咖啡巧克力 · 2024年01月14日

合约的价值

  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。

如何理解”value of the contract” ？

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已采纳答案

李坏_品职助教 · 2024年01月14日

嗨，爱思考的PZer你好：


value of contract就是远期合约（forward contract）本身的价值。


比如，对于苹果的远期合约（forward contract）的多头来说，他可以在合约到期日（比如3个月之后）按照10块钱一公斤的价格买入100个苹果。


如果苹果现货目前的价格是20块钱，那么这份远期合约现在，对多头来说是“占了便宜“（可以低价买入苹果），所以此时远期合约的value应该是大于0的。但是如果此时苹果价格跌到了5块钱一公斤，那么多头是亏了，此时value应该是小于0。


在远期合约期初的时候，为了对多、空双方都公平，所以谁也别占便宜（等于谁也不吃亏），value等于0。


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