问一道题：NO.PZ2016082402000062

Consider a forward rate agreement (FRA) with the same maturity and com-pounding frequency as a Eurodollar futures contract. The FRA has a LIBOR underlying. Which of the following statements is true about the relationship between the forward rate and the futures rate?

选项：

The forward rate is normally higher than the futures rate.

They have no fixed relationship.

The forward rate is normally lower than the futures rate.

They should be exactly the same.

解释：

ANSWER: C

Equation$Futures\;Rate=Forward\;Rate+\frac12\sigma^2t_1t_2$ shows that the futures rate exceeds the forward rate.

这里的t1和t2指的是什么？以年为单位吗？