"Derivative"exercise:Forward interest rate agreement

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Questions 1:

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

A 、positions cannot be closed out prior to maturity.

B、 it involves an option component.

C 、its underlying is not an asset.

Questions 2:

The pricing of forwards and futures will most likely differ if:

A、 interest rates exhibit zero volatility.

B 、futures prices and interest rates are negatively correlated.

C、 futures prices and interest rates are uncorrelated.

View answer resolution

【Answer to question 1】C

【analysis】

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

A is incorrect. Forward rate agreements can also be closed out prior to maturity.

B is incorrect. Forward rate agreements do not involve an option component.

【Answer to question 2】B

【analysis】

B is correct. The pricing of forwards and futures will differ if futures prices and interest rates are negatively correlated. A negative correlation between futures prices and interest rates makes forwards more desirable than futures in the long position.

A is incorrect. If interest rates exhibit zero volatility, the pricing of forwards and futures will be identical.

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

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