NO.PZ202208260100000502
问题如下：
One of Ace’s investor clients has entered a long six-month forward transaction with Ace on 100 shares of Xenaliya (XLYA), a non-dividend-paying technology stock. The stock’s spot price per share, S0, is €85, and the risk-free rate is a constant 1% for all maturities. Ace has hedged the client transaction with a long six-month XLYA futures contract at a price f0(T) of €85.42 and posted initial margin of €1,000. Three months after the forward and futures contracts are initiated, XYLA announces a strategic partnership with a major global technology firm, and its spot share price jumps €15 on the day’s trading to close at €123. Which of the following statements best characterizes the impact of the day’s trading on the MTM value of the forward versus the futures contract?
选项：
A.
Ace’s client realizes an
MTM gain of approximately €1,500 (= €15×100) on its margin account, which Ace
must deposit at the end of the day to cover its margin call.
B.
Ace’s client benefits from an
MTM unrealized gain on its forward contract with Ace, and Ace has a
corresponding MTM gain of approximately €1,500 (= €15×100) deposited in its
margin account by the exchange.
C.
Because Ace has entered a
hedge of its client’s long forward position on XLYA by executing a futures
contract with otherwise identical terms, the two contract MTM values exactly
offset one another and no cash is exchanged on either transaction.
解释：
Solution
B is correct.
The long investor client forward
position with Ace benefits from an MTM gain on its forward contract with Ace,
but no cash is exchanged until maturity. Ace receives a deposit in its futures
margin account equal to the daily MTM futures contract gain, which if spot and
futures prices change by approximately the same amount will be equal to €1,500
(€15 × 100).
中文解析：
本题中Ace的客户,后面我们简称为客户，他与Ace签订的是forward合约；而Ace为了对冲这笔交易，又进入了一个期货合约。
所以本题实际考察的是远期合约与期货合约在合约期间MTM是否结算的对比。
由于标的股票一天内涨了15美元，对于客户来说，标的涨了自然会有gain，但由于他签订的是远期合约，到期才能结算，所以这个gain是未实现的收益。
而对于Ace来说，由于进入的是期货合约，每日盯市结算，因此当天的收益直接会划至其保证金账户内，实现真正的收益即15美元*100股=1,500美元。
因此选择B。
盈利为何不是以3个月现价对比签订的远期价格呢？
