题目
With respect to the convexity adjustment applied to a Eurodollar futures contract that has a final settlement at time T, which of the following is true?
选项
A.The forward rate (per FRA) is greater than the Eurodollar futures rate because (i) the futures contract settles daily and (ii) the FRA probably settles at T + 0.25 years.
B.The forward rate (per FRA) is greater than the Eurodollar futures rate because (i) the Eurodollar has additional currency risk and (ii) the FRA probably settles at T - 0.25 years.
C.The Eurodollar futures rate is greater than the forward rate (per FRA) because (i) the Eurodollar has additional currency risk and (ii) the FRA probably settles at T - 0.25 years.
D.The Eurodollar futures rate is greater than the forward rate (per FRA) because (i) the futures contract settles daily and (ii) the FRA probably settles at T + 0.25 years.
答案
D
解析
As forward rate = futures rate - convexity adjustment, the futures rate is greater. Further, please note, the Eurodollar futures cash settles at maturity, which is time T. At time T, the quoted price is based on the then-prevailing three month LIBOR, but the futures contract does not wait to settle at T + 0.25 years.远期利率=期货利率-凸性调整时，期货利率较大。欧洲美元期货合约每天进行结算，最终的交割发生在T，交割的数量也反映T与T＋0.25之间的利率。远期利率协议不是每天结算，最终的交割也反映T与T＋0.25之间的利率，远期利率协议的最终付款发生在T＋0.25。