ZAA · 2022年06月12日
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FRA是1.25
NO.PZ2019010402000013 问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873 B.-11,873 C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(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}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 银行作为fixereceiver，FRA有1.25%，同时floating payer，Libor都是小于等于1.25%，难道这个value不应该是正的吗？
NO.PZ2019010402000013问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873B.-11,873C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(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}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 怎么样区分用哪个折现
NO.PZ2019010402000013 问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873 B.-11,873 C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(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}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 如题
NO.PZ2019010402000013 问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873 B.-11,873 C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(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}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 参考了下其他同学提的问题，看到有老师回答说本题不适用重新定价法，原因是什么？（基础班讲义P40的例题，老李老师也是用的重新定价法讲的）
NO.PZ2019010402000013问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873B.-11,873C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(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}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 老师，您好，这道题可以用重新定价法吗？答案不一致。
