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Chinazdk · 2024年02月16日

关于c

  1. CFA I
  2. Derivative

NO.PZ2018062007000059

问题如下：

Which of the following statements regarding the settlement of forward contracts is correct?

选项：

A.

Contract settlement by cash has different economic effects from those of a settlement by delivery.

B.

Non- deliverable forwards and contracts for differences have distinct settlement procedures.

C.

At cash settlement, when the long party acquires the asset in the market, it effectively pays the forward price.

解释：

C is correct. In the case of cash settlement, the long can acquire the asset, effectively paying the forward price, F0(T). A is incorrect because forward contracts settled by cash or by delivery have the same economic effect. B is incorrect because both non- deliverable forwards and contracts for differences can settle by an exchange of cash.

中文解析：

A错，因为以现金结算的远期合同或以交货结算的远期合同具有相同的经济效果。

B错，B选项的意思是 Non- deliverable forwards 和 contracts for differences 有不同的交割方式，然而它们都是现金交割的，所以B选项不对。其中contract for difference是差价合约的意思，简称CFD，是一种衍生工具，用来交易标的资产的价格变化，它是现金交割的。

C对，在现金结算的情况下，多头可以获得该资产，有效支付的价格即为远期价格F0(T)

acquires the asset in the market 这指的是从市场采购，对吧？如果这样的话，市场的现货价格是不知道的啊，怎么能直接用forward price 作为采购价呢？

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1 个答案

李坏_品职助教 · 2024年02月16日

嗨，从没放弃的小努力你好：


forward的定义是，多头要在期末按照固定的交割价支付货款，从空头手里购入一定的asset。这个固定的交割价是在期初确定好的不再变动了，也就是期初确定下来的F0(T)。如果在期末，现货资产价格上升了，大于F0(T)，那么多头就赚钱了。所以多头交付的货款就是F0(T).


实际上应该是空头需要按照现货价格从市场买入现货，然后交割给多头。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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