题目
A risk analyst at a commodities trading firm is examining the supply and demand conditions for various commodities and is concerned about the volatility of the forward prices for silver in the medium term. Currently, silver is trading at a spot price of USD 20.35 per troy ounce and the six-month forward price is quoted at USD 20.50 per troy ounce. Assuming that after six months the lease rate rises above the continuously compounded interest rate, which of the following statements is correct about the shape of the silver forward curve after six months?
选项
A.The forward curve will be downward sloping.
B.The forward curve will be upward sloping.
C.The forward curve will be flat.
D.The forward curve will be humped.
答案
A
解析
A is correct. The forward price can be expressed in terms of lease rate and risk-free rate as: F = Se^((r － δ)t). Therefore, as the risk-free rate falls below the lease rate (r<δ), we can see from the forward price formula above that F远期价格可以用租赁收益率和无风险利率进行表示:F = Se ^ ((r－δ)t)。因此,当无风险利率下降低于租赁率(r <δ),我们可以看到F