NO.PZ2019010402000013
问题如下:
A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:
The value of this 3×6 FRA is:
选项:
A. 11,873
B. -11,873
C. -12,579
解释:
B is correct.
考点:FRA的估值
解析:
画图:
题中的银行是fixed receiver,即FRA的short方。上图是以Long方,即Borrower(floating receiver)为例,所以fixed receiver (short)的value=-long=-11873
为什么是在30时间点1 而不是3的时间点提前30天就是60 2时间点?