[提问]关于forward和future市场价格的问题

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请问一个很基本的问题，forward price是不是只在合约创建时由Arbitrage-free原则确定，确定后在整个合约过程中由于合约非标准、没有交易所的原因，forward合约是没有第三方给予实时price的。forward合约的value也只是从underlining asset的spot price和forward price中计算出来的。

而future合约因为标准化、有交易所的原因，在合约过程中，有实时的price，并且伴随而来的还有mark-to-market机制，实时结算。

因为以上的原因，所以future合约在临近到期日，其price将趋近于spot price；而forward合约的price由于一直不变，因此不存在“趋近于spot price”的现象。

请问我的理解对不对？

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关键词：forward future 市场价格 ward War forward 市场价格 future

Well it's a good question. I give my own opinion.

The text book only says the difference between forward and futures it that the former is OTC traded and the later is exchange traded. So future is a kind of "standardized" contract, it marks to market, and so on...

What the text book didn't mention is another important difference of these two kinds of contracts. That is: future has constant maturity, (e.g. the 15th of Mar, Jun, Sep, Dec), while the forward contract is issued on a rolling basis, that is each day you will have a say 3 month contract, but for futures if a day passed, the maturity will be 3 month-1day.

So this cause the problem, future price can be settle by market price because the market price reflects the change of value of the futures contract you hold (e.g. after one day, the contract you hold is 3month-1day, while the contract traded in the market is also 3 month-1day). But forward can't. Since the contract you hold is 3 month-1day, while the market is trading 3month contract. So impossible to compare.

At maturity, there is a futures contract that begins today and matures today (0 maturity), so the spot and futures price will converge. But for forward, the market price still stands for a 3month contract, so they won't be the same.

best,

Chemist_MZ 发表于 2014-5-29 23:11
Well it's a good question. I give my own opinion.

The text book only says the difference between  ...

Thank you so much!