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远期（Forward）与期货

Forward vs. Futures

专题
Finance / 金融
难度
L4

题目详情

期货与远期的主要差异是什么？如果标的与利率强正相关，期货价格与远期价格哪个更高？

Futures vs. forwards difference? If the underlying is strongly positively correlated with interest rates, which is higher?

解析

差异：

  • 期货：交易所标准化合约，逐日盯市结算。
  • 远期：场外合约，到期一次性结算。

若标的 SS 与利率 rr 强正相关：多头期货在上涨时会产生逐日收益并可在更高利率下再投资，因此期货价格通常高于远期价格（Ffut>FfwdF_{fut}>F_{fwd}）。

Original Explanation

  • Futures are exchange-traded, standardized, daily marked to market.
  • Forwards are OTC, settled at maturity.
  • If SS and rr are positively correlated, then a long futures benefits in a rising-rate environment => you can reinvest daily gains at higher rates => futures price >> forward price.