NO.PZ2024061801000033
问题如下:
A trader is considering whether to invest in a forward or a futures contract on fixed-rate bonds as the underlying asset. Assuming interest rates rise, determine whether there is a gain or loss on the underlying asset and whether a forward or a futures contract is more desirable.
选项:
A.
There will be a gain on the underlying asset and a forward contract is more desirable.
B.
There will be a loss on the underlying asset and a forward contract is more desirable.
C.
There will be a gain on the underlying asset and a futures contract is more desirable.
D.
There will be a loss on the underlying asset and a futures contract is more desirable.
解释:
如果利率上升,那么固定利率债券资产的价值将会下降。使用期货时,资产价格下跌的损失会立即确认,并且必须以高利率融资。这使得期货多头合约比远期多头合约更不理想。换句话说,对于远期合约,资产价格下跌的损失会被延迟,这使得远期多头合约比期货多头合约更理想。
C为什么错了,不太能理解