You are long a forward on the S&P 500 index that you entered into two months ago and has a month left to maturity. If the one-month rate of interest increases, then, ceteris paribus,
A) The value of your forward contract increases.
B) The value of your forward contract decreases.
C) The value of your forward contract is unaffected since the delivery price on your contract was already locked in two months ago.
D) The value of your forward contract is unaffected since the level of the index does not change.
Correct Answer:
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