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kevinzhu · 2022年05月25日

答案乱码

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:

valuelong=1000000001+1.05%×60360100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873

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

value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873valuelong​=1+1.05%×36060​100000000​−1+1.2%×360150​100000000×(1+1.25%×36090​)​=11873

看不清


2 个答案

Lucky_品职助教 · 2022年05月27日

嗨,从没放弃的小努力你好:


FRA的long方是fixed payer,即通过签署FRA合约,约定将来以fixed rate贷款,控制自己的贷款成本或现金流,本题说银行是fixed receiver,因此是short方。

FRA是一个合约,合约中约定了将来long方贷款的固定利率,也就是fixed rate。

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加油吧,让我们一起遇见更好的自己!

Lucky_品职助教 · 2022年05月25日

嗨,从没放弃的小努力你好:


谢谢同学提出,我向技术反馈

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

kevinzhu · 2022年05月26日

银行是fixed receiver,即FRA的short方。这个不理解。 图中FRA=The fixed rate is 1.25%.这个不理解。

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