NO.PZ2018062007000022
问题如下：
Which of the following description is correct regarding the long position of a forward contract at expiration?
选项：
A.
If asset spot price is larger than its forward price, the value of the contract is positive
B.
If asset spot price is smaller than its forward price, the value of the contract is positive
C.
If asset spot price is larger than its forward price, the long party has right to cancel the contract.
解释：
A is correct.
The long position will gain positive payoff if the spot price is higher than forward price at expiration, and thus the value of the contract is positive. If spot price is lower than forward price at expiration, the long party will pay the net amount to the short party, and thus the value of the contract is negative to long position.
本题考察forward合约多头在到期日的状况。到期时，如果标的资产市场价格ST>F0(T)，相当于可以用F0(T)买价值ST的资产，那么合约的value是ST-F0(T)>0。所以选项A是正确的。其余选项都与之矛盾。
关键在于spot price的意思，看了解析，知道他代表的是到期时的市场价格。为什么不能把spot price理解成在long forward contract时，也就是0时点的价格呢？
