题目
Consider an FRA (forward rate agreement) with the same maturity and compounding frequency as a Eurodollar futures contract. The FRA has a LIBOR underlying. Which of the following statements are true about the relationship between the forward rate and the futures rate?
选项
A.The forward rate is normally higher than the futures rate.
B.They have no fixed relationship.
C.The forward rate is normally lower than the futures rate.
D.They should be exactly the same.
答案
C
解析
Equation of convexity adjustment shows that the futures rate exceeds the forward rate. 凸性调整公式表明，期货利率高于远期利率。