问问b选项

问题如下：

Which of the following derivatives realize a gain as the market reference rate rises above the initial fixed rate?

选项：

A.Long forward rate agreements only

B.Short interest rate futures contracts only

C.Both long forward rate agreements and short interest rate futures contracts

解释：

A is Incorrect because short interest rate futures contracts also gain from a rising market reference rate.

B is Incorrect because long forward rate agreements also gain from a rising market reference rate.

C is Correct because realizing a gain on the FRA contract as rates rise. Note that this would be equivalent to taking a short position on a CNY MRR futures contract if one were available. A long FRA (i.e., FRA floating-rate receiver (fixed-rate payer)) position realizes a gain as MRR rises. A short futures contract price is based on (100 − yield), which gains as yield-to-maturity (MRR) rises.