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fresh · 2022年06月19日

请问老师advance set /advance settle什么意思?与arrears 计算上什么区别?谢谢

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

如题目请问老师advance set /advance settle什么意思?与arrears 计算上什么区别?谢谢

1 个答案
已采纳答案

Lucky_品职助教 · 2022年06月19日

嗨,爱思考的PZer你好:


同学你好,我拿一个3×6的FRA举例说明下

advanced set是说我们的存、贷款利率在存款或者贷款开始的时候就决定了。对3×6的FRA,那就是FRA到期的3时刻,贷款的利率就定下来了。

advanced settled是指FRA的结算时在贷款开始的时候结算,也就是3时刻结算。

settled in arrears是指FRA的结算时在贷款结束的时候结算,也就是6时刻结算。

我放了原版书中的解释,你看看:

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努力的时光都是限量版,加油!

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