Derivative Investments:A forward rate agreement

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來源: 正保會(huì)計(jì)網(wǎng)校編輯：大耳朵圖圖 2020/09/14 13:54:39　字體：大小

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Questions 1:

Which of the following statements is least accurate concerning differences in the pricing of forwards and futures?

A. Interest rate volatility can explain pricing differences.

B. Pricing differences can arise if futures prices and interest rates are uncorrelated.

C. Differences in the pattern of cash flows of forwards and futures can explain pricing differences.

Questions 2:

A forward rate agreement most likely differs from most other forward contracts, because:

A. its underlying is not an asset.

B. positions cannot be closed out prior to maturity.

C. it involves an option component.

View answer resolution

【Answer to question 1】（B）

【analysis】

If futures prices and interest rates are uncorrelated, the prices of forwards and futures will be identical.

【Answer to question 2】（A）

【analysis】

Forward rate agreements, unlike most other forward contracts, do not have an asset as an underlying. Instead, the underlying is an interest rate.

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