虚心求问两道关于futures 和forward contract的题

wbmhjmwl

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收藏 2009-12-30

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如题求问各位下面这两道题，我是初学者，也查了教材和一些资料，但还是没什么头绪，放上来大家一起讨论一下，非常感谢！

1. As futures and forward contracts offer identical payoffs to those of a levered purchase of the underlying asset, they can serve no useful economic purpose.” Discuss.

2.Pricing forward contracts requires knowledge of interest rates over the life of the contract. However, interest rates may change unpredictably in the medium term, and we should allow for this additional uncertainty in assessing the value of the contract.” Discuss.

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1# wbmhjmwl 1. Futures are traded on exchange, which has margin requirement thus the counterparty default risk is basically zero. Forwards are traded OTC and has counterparty risk. 2. The question is wrong. It should be about futures, not forwards. As in 1, trading futures needs margin account, therefore, the correlation between underlying asset for the future and the interest rate is import ...

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mf-ebooks

2009-12-30 05:41:32

1# wbmhjmwl

1. Futures are traded on exchange, which has margin requirement thus the counterparty default risk is basically zero. Forwards are traded OTC and has counterparty risk.
2. The question is wrong. It should be about futures, not forwards. As in 1, trading futures needs margin account, therefore, the correlation between underlying asset for the future and the interest rate is important. Please see John Hull's book for detail.

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bingo8888

2010-1-1 01:26:46

1. 有一定道理。你可以用别的资产来复制期货的现金流状况，但前提是这种资产存在。而在事实中，标的期货的流动性与其跟标的的相关性如此之高以至于其成为一个对冲标的风险的理想工具，其他很多工具要么交易费用高，要么基差风险更大，要么流动性不好。因此，期货还是有用的。

2. 这题拿不准。不过感觉由于远期不存在盯市，其间的利率变动不会带来额外的现金流，因此，应该不需要在远期定价时考虑利率在其间的变化吧。

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wbmhjmwl

2010-1-3 06:50:58

第二题的答案
forward contracts only need the current spot rates and that changes in the interest rates will induce changes in the forward price but will not affect existing contracts. Then move to say that changes will affect futures via mark to market

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