题目
Long-dated forward contracts on short-term deposits:
选项
A.Imply lower rates than Eurodollar futures contracts for the same maturity.
B.Imply higher rates than Eurodollar futures contracts for the same maturity.
C.Imply the rates as Eurodollar futures contracts for the same maturity.
D.May imply higher or lower rates than Eurodollar futures contracts for the same maturity.
答案
A
解析
The underlying asset in both these contracts is a short-term deposit, whose value is strongly negatively correlated to interest rates. Forward and futures prices on comparable contracts are not exactly equal because of the daily mark-to-market feature of futures contracts, and the difference increases with the term of the contracts. 这两种合约的标的资产都是短期存款，其价值与利率呈显著负相关。 远期和期货价格并不完全相等，这是由于期货合约的逐日盯市的特点，价二者之间的差异随合约期限的延长而增加。