frr07172018-02-23 16:01:08

Comment 2: There is a difference between the pricing and the valuation of forward commitments. Pricing involves determining the appropriate forward commitment price or rate, typically after it has been initiated. Valuation involves determining the appropriate rate of the forward commitment when initiating the contract. 解答， B is correct. Characteristic 2 is incorrect. The conversion factor in a futures contract does not apply to accrued interest. It is a mathematical adjustment to the amount required when settling a futures contract that is supposed to make all eligible bonds equal the same amount—for example, adjust each bond to an equivalent 6% coupon bond. When multiple bonds can be delivered for a particular maturity of a futures contract, a cheapest-to-deliver bond typically emerges after adjusting for the conversion factor. 麻烦老师解释下，谢谢！