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xyrg+ · 2023年01月19日

按照讲义笔记,做差为啥不是3.5-3

NO.PZ2020021204000020

问题如下:

In an FRA, an annualized rate of 3% will be received and six-month LIBOR will be paid on a principal of USD 5,000,000 for a six-month period starting in 18 months. If the annualized six-month forward rate in 18 months proves to be 3.5%, what is the settlement on the FRA? When is it made?

选项:

解释:

The USD settlement in 18 months is

((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285

It is settled in 18 months.

按照讲义笔记,做差为啥不是3.5-3


这里是6%-5%啊

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已采纳答案

李坏_品职助教 · 2023年01月20日

嗨,努力学习的PZer你好:


题目里说的是 3% will be received and six-month LIBOR will be paid,按照这个receive和paid来算正负就对了。3%是收取的利息,3.5%是支付的利息。


板书这个意思应该是6%是received,5%是paid。


考试的时候利息的正负号要根据题目的要求来确定。



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努力的时光都是限量版,加油!

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