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leozhenlin · 2020年05月13日

问一道题:NO.PZ2018062007000088 [ CFA I ]

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.

C选项的意思没有看懂,算然选对了,但用的排除法

1 个答案

xiaowan_品职助教 · 2020年05月13日

嗨,努力学习的PZer你好:


同学你好,

C选项是说,在现金交割的情况下,long的一方是可以用 F0(T) 的价格购买资产的,

原因是在交割的时候,long的一方会获得FT(T)-F0(T),货物在此时市场价格是FT(T),long方用手中交割到的金额再付出F0(T)就可以获得货物。

所以选项说effectively pays the forward price,forward price即F0(T)


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