which of the following statements regarding forward contracts on T-bills is true? A. the long will receive a payment at settlement if the discount yield is above the forward yield B. if short term yields increase unexpectedly after contract initiation, the short will profit on the contract. 胡老师，我不明白A为什么不对，因为当实际利率低于合同率的时候，价格是上涨的因此long可以有盈利的。而我认为在没有到settlement day的时候所有利率的变动除开可以做一个hedgen其他作用不大。为什么B是正确的呢？谢谢老师帮助 [em09] | 
发表于 2007-2-16 10:59
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