Derivative Investments:A forward rate agreement
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Questions 1:
Which of the following statements is least accurate concerning differences in the pricing of forwards and futures?
A. Interest rate volatility can explain pricing differences.
B. Pricing differences can arise if futures prices and interest rates are uncorrelated.
C. Differences in the pattern of cash flows of forwards and futures can explain pricing differences.
Questions 2:
A forward rate agreement most likely differs from most other forward contracts, because:
A. its underlying is not an asset.
B. positions cannot be closed out prior to maturity.
C. it involves an option component.
If futures prices and interest rates are uncorrelated, the prices of forwards and futures will be identical.
Forward rate agreements, unlike most other forward contracts, do not have an asset as an underlying. Instead, the underlying is an interest rate.
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